A moment-based analytic approximation of the risk-neutral density of American options
Year of publication: |
December 2016
|
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Authors: | Arismendi Zambrano, Juan Carlos ; Prokopczuk, Marcel |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 5/6, p. 409-444
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Subject: | Multi-asset risk-neutral density | American multi-asset options | higher order moments | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Statistische Verteilung | Statistical distribution |
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