کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096134 | 1376506 | 2014 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hermite polynomial based expansion of European option prices
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We seek a closed-form series approximation of European option prices under a variety of diffusion models. The proposed convergent series are derived using the Hermite polynomial approach. Departing from the usual option pricing routine in the literature, our model assumptions have no requirements for affine dynamics or explicit characteristic functions. Moreover, convergent expansions provide a distinct insight into how and on which order the model parameters affect option prices, in contrast with small-time asymptotic expansions in the literature. With closed-form expansions, we explicitly translate model features into option prices, such as mean-reverting drift and self-exciting or skewed jumps. Numerical examples illustrate the accuracy of this approach and its advantage over alternative expansion methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 179, Issue 2, April 2014, Pages 158-177
Journal: Journal of Econometrics - Volume 179, Issue 2, April 2014, Pages 158-177
نویسندگان
Dacheng Xiu,