This study proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas. The proposed model is based on a more realistic stochastic process—relative to the standard geometric Brownian motion—without introducing...

This article develops a new methodology for estimating implied probability density functions for futures prices from American options. The restricting Black–Scholes assumption of a lognormal distribution for the underlying asset is relaxed with the use of the more flexible distributional form...

This paper proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas. The proposed model is based on a more realistic stochastic process - relative to the standard geometric Brownian motion - without introducing...

This article develops a new methodology for estimating the risk neutral density implied by American type futures options. The methodology employed uses an Edgeworth series expansion parameterization for the probability distribution of asset returns. Data from the crude oil market are used to...