Statistical Distributions, European Option, American Option, and Option Bounds

DOI10.1142/9789811202391_0085zbMATH Open1454.91294OpenAlexW3080751297MaRDI QIDQ5139515

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0085

zbMATH Keywords

normal distributionAmerican optionmultivariate normal distributionlog-normal distributionmultivariate log-normal distributionoption bound

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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