A Multi-Asset Option Approximation for General Stochastic Processes
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- J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
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Keywords
Multi-asset option pricing; Derivatives; Risk Management;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2014-07-28 (Risk Management)
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