Hermite polynomial based expansion of European option prices
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Publication:469560
DOI10.1016/j.jeconom.2014.01.003zbMath1298.91171OpenAlexW3121998124MaRDI QIDQ469560
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
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)
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