Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150680 | Journal of Statistical Planning and Inference | 2007 | 16 Pages |
Abstract
This paper discusses the option pricing problems using statistical series expansion for the price process of an underlying asset. We derive the Edgeworth expansion for the stock log return via extracting dynamics structure of time series. Using this result, we investigate influences of the non-Gaussianity and the dependency of log return processes for option pricing. Numerical studies show some interesting features of them.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Kenichiro Tamaki, Masanobu Taniguchi,