Higher order asymptotic option valuation for non-Gaussian dependent returns

DOI10.1016/J.JSPI.2006.06.023MaRDI QIDQ866646zbMATH OpenOpenAlexFDO

Authors Kenichiro Tamaki, Masanobu Taniguchi

Publication date 14 February 2007

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2006.06.023

zbMATH Keywords

Edgeworth expansionOption pricingBlack and Scholes modelNon-Gaussian stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3253529 (Why is no real title available?)
• scientific article; zbMATH DE number 3253530 (Why is no real title available?)
• A note on skewness and kurtosis adjusted option pricing models under the martingale restriction
• Asymptotic theory of statistical inference for time series
• Quantitative methods for portfolio analysis. MTV model approach
• The pricing of options and corporate liabilities

Cited in

(2)

• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations
• Edgeworth Black-Scholes option pricing formula

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