Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
Erik Schlögl
| Year of publication: |
2013
|
|---|---|
| Authors: | Schlögl, Erik |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 37.2013, 3, p. 611-632
|
| Subject: | Hermite expansion | Semi-nonparametric estimation | Risk-neutral density | Option-implied distribution | Exotic option | Currency option | Optionspreistheorie | Option pricing theory | Statistische Verteilung | Statistical distribution | Optionsgeschäft | Option trading | Devisenoption | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009710479