Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
From MaRDI portal
Publication:5861401
DOI10.1080/02664763.2019.1703915OpenAlexW2997595832MaRDI QIDQ5861401
Publication date: 1 March 2022
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664763.2019.1703915
saddlepoint approximationcumulant generating functionLaplace integraltail expectationnon-Gaussian baseoption on integrated variance
Cites Work
- Unnamed Item
- Saddlepoint approximations to option prices
- An example in which the Lugannani - Rice saddlepoint formula fails
- Saddlepoint Approximations with Applications
- Saddlepoint methods for option pricing
- Exact saddlepoint approximations
- Saddle point approximation for the distribution of the sum of independent random variables
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance
- Saddlepoint Approximation Methods in Financial Engineering
- Tail Probability Approximations
- Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
- Saddlepoint Approximations for Expectations and an Application to CDO Pricing
- Saddlepoint Approximations in Statistics
This page was built for publication: Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
