Saddlepoint approximations to option price in a general equilibrium model

DOI10.1016/j.spl.2004.11.018zbMath1076.60053OpenAlexW2086228635MaRDI QIDQ2483862

Jian Xiong, Donna Mary Salopek, Augustine C. M. Wong

Publication date: 1 August 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.11.018

zbMATH Keywords

stochastic volatilityoption pricingstochastic interest rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance ⋮ An efficient third-moment saddlepoint approximation for probabilistic uncertainty analysis and reliability evaluation of structures ⋮ Risk adjustments of option prices under time-changed dynamics ⋮ Order estimates for the exact Lugannani-Rice expansion

Cites Work

• Saddlepoint approximations to option prices
• Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods
• A Theory of the Term Structure of Interest Rates
• Numerical integration rules for multivariate inversions
• An Intertemporal General Equilibrium Model of Asset Prices
• Saddle point approximation for the distribution of the sum of independent random variables
• A decomposition of Bessel Bridges
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• 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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