Hermite polynomial based expansion of European option prices

DOI10.1016/j.jeconom.2014.01.003zbMath1298.91171OpenAlexW3121998124MaRDI QIDQ469560

Dacheng Xiu

Publication date: 11 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.01.003

zbMATH Keywords

mean-reversionoption valuationdouble exponential jumpsclosed-form expansionself-exciting jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by polynomials (41A10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (20)

Nonparametric estimation of fractional option pricing model ⋮ Estimating jump-diffusions using closed-form likelihood expansions ⋮ Orthogonal expansions for VIX options under affine jump diffusions ⋮ Double-jump diffusion model for VIX: evidence from VVIX ⋮ The Jacobi stochastic volatility model ⋮ A new representation of the risk-neutral distribution and its applications ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Testing for mutually exciting jumps and financial flights in high frequency data ⋮ Nonparametric estimates of option prices via Hermite basis functions ⋮ It only takes a few moments to hedge options ⋮ Explicit form of approximate transition probability density functions of diffusion processes ⋮ A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps ⋮ Solving Euler equations via two-stage nonparametric penalized splines ⋮ A data-driven framework for consistent financial valuation and risk measurement ⋮ Nonparametric filtering of conditional state-price densities ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Model-based pricing for financial derivatives ⋮ A non-linear dynamic model of the variance risk premium

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