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A general closed form option pricing formula - MaRDI portal

A general closed form option pricing formula (Q2418424)

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A general closed form option pricing formula
scientific article

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    title
    A general closed form option pricing formula (English)
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    author
    Ciprian Necula
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    Walter Farkas
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    Gabriel G. Drimus
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    publication date
    3 June 2019
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    zbMATH DE Number
    7061542
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    zbMATH Keywords
    European options
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    expansion based approximation of risk-neutral density
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    Gauss-Hermite series expansion
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    calibration
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    OpenAlex ID
    W3124601919
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