Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
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- An example in which the Lugannani - Rice saddlepoint formula fails
- Exact saddlepoint approximations
- Saddle point approximation for the distribution of the sum of independent random variables
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- Saddlepoint approximation methods in financial engineering
- Saddlepoint approximations
- Saddlepoint approximations for expectations and an application to CDO pricing
- Saddlepoint Approximations in Statistics
- Saddlepoint approximations to option prices
- Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
- Saddlepoint Approximations with Applications
- Saddlepoint methods for option pricing
- Tail Probability Approximations
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