Options on portfolios with higher-order moments
β Scribed by Rishabh Bhandari; Sanjiv R. Das
- Book ID
- 116494839
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 314 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1544-6123
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π SIMILAR VOLUMES
## Abstract A general parametric framework based on the generalized Student __t__βdistribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as timeβvarying volatility are priced. An important computational advantage of the proposed framework over Monte Carl
We develop a modified Edgeworth binomial model with higher moment consideration for pricing American Asian options. With lognormal underlying distribution for benchmark comparison, our algorithm is as precise as that of Chalasani et al. [P. Chalasani, S. Jha, F. Egriboyun, A. Varikooty, A refined bi