Saddlepoint approximations to option prices

DOI10.1214/aoap/1029962752zbMath0963.91054OpenAlexW1972835680MaRDI QIDQ1305423

L. C. G. Rogers, Omar Zane

Publication date: 27 June 2001

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962752

zbMATH Keywords

Fourier transformLévy processesBrownian motionsaddle-point approximationsdistribution of a random variablesoption-pricing

Mathematics Subject Classification ID

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Cites Work

• Hyperbolic distributions in finance
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• Saddle point approximation for the distribution of the sum of independent random variables
• Tail Probability Approximations
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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