A moment expansion approach to option pricing

DOI10.1080/14697680500117641zbMath1118.91316arXivcond-mat/0401503OpenAlexW2005412424MaRDI QIDQ5697340

Marco Airoldi

Publication date: 17 October 2005

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0401503

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order ⋮ Pricing Asian options via compound gamma and orthogonal polynomials ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ The implied volatility smirk ⋮ Pricing financial claims contingent upon an underlying asset monitored at discrete times ⋮ A new method for generating approximation algorithms for financial mathematics applications ⋮ Z-Transform and preconditioning techniques for option pricing

Cites Work

• The Pricing of Options and Corporate Liabilities
• Analysis of quadrature methods for pricing discrete barrier options
• Connecting discrete and continuous path-dependent options
• Monte Carlo methods for security pricing
• A Continuity Correction for Discrete Barrier Options
• Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
• Asymptotic Approximations to Distributions
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• A Note on Average Rate Options with Discrete Sampling
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
• Random walk duality and the valuation of discrete lookback options
• Gram-Charlier densities.

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