Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Sailesh - Federal Reserve Bank of Atlanta - 1996
This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index...
