Higher order asymptotic option valuation for non-Gaussian dependent returns

DOI10.1016/J.JSPI.2006.06.023zbMATH Open1201.91206OpenAlexW2033861438MaRDI QIDQ866646FDOQ866646

Masanobu Taniguchi, Kenichiro Tamaki

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• Asymptotic theory of statistical inference for time series
• Quantitative methods for portfolio analysis. MTV model approach
• A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*

Cited In (1)

• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations

This page was built for publication: Higher order asymptotic option valuation for non-Gaussian dependent returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q866646)