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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• The Valuation of American Options on Multiple Assets
• Option pricing when underlying stock returns are discontinuous
• Valuing American options by simulation: a simple least-squares approach
• Density approximations for multivariate affine jump-diffusion processes
• Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
• Multivariate truncated moments
• Gram-Charlier densities.
• The implied volatility smirk
• Multi-asset spread option pricing and hedging
• Analytic approximations for multi-asset option pricing
• Moment swaps

Cited In (4)

• Estimating option implied risk‐neutral densities using spline and hypergeometric functions
• 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
• Revealing the implied risk-neutral MGF from options: the wavelet method

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