A moment-based analytic approximation of the risk-neutral density of American options

DOI10.1080/1350486X.2017.1297726zbMATH Open1396.91715OpenAlexW3121130905MaRDI QIDQ4585684FDOQ4585684

Authors Marcel Prokopczuk, Juan C. Arismendi

Publication date 6 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2017.1297726

zbMATH Keywords

higher order momentsAmerican multi-asset optionsmulti-asset risk-neutral density

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3223285 (Why is no real title available?)
• Analytic approximations for multi-asset option pricing
• Density approximations for multivariate affine jump-diffusion processes
• Gram-Charlier densities.
• Moment swaps
• Multi-asset spread option pricing and hedging
• Multivariate truncated moments
• Option pricing when underlying stock returns are discontinuous
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• The Valuation of American Options on Multiple Assets
• The implied volatility smirk
• The pricing of options and corporate liabilities
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• Revealing the implied risk-neutral MGF from options: the wavelet method
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• A Monte Carlo multi-asset option pricing approximation for general stochastic processes
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions

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