Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order

DOI10.1016/j.jedc.2012.10.001zbMath1346.91240OpenAlexW3123118004MaRDI QIDQ318379

Erik Schlögl

Publication date: 5 October 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/23442

zbMATH Keywords

Hermite expansionsemi-nonparametric estimationrisk-neutral densitycurrency optionexotic optionoption-implied distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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