A moment-based analytic approximation of the risk-neutral density of American options
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Publication:4585684
DOI10.1080/1350486X.2017.1297726zbMath1396.91715MaRDI QIDQ4585684
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
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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- The Pricing of Options and Corporate Liabilities
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- Multivariate truncated moments
- Density approximations for multivariate affine jump-diffusion processes
- Moment swaps
- The implied volatility smirk
- Multi-asset spread option pricing and hedging
- The Valuation of American Options on Multiple Assets
- ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing when underlying stock returns are discontinuous
- Gram-Charlier densities.