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Hermite polynomial based expansion of European option prices · Study

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ArticleHermite polynomial based expansion of European option prices

Dacheng Xiu2014

OA

Articlegreen2014

Hermite polynomial based expansion of European option prices

62 citations·0/0 files stored·Journal of Econometrics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical functions and polynomials

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1976Option pricing when underlying stock returns are discontinuous 1976The valuation of options for alternative stochastic processes 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1999Option valuation using the fast Fourier transform

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2020Implied Stochastic Volatility Models 2020Closed-form implied volatility surfaces for stochastic volatility models with jumps 2017Testing for mutually exciting jumps and financial flights in high frequency data

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2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptionsarticle · 15 shared references 2013Closed-Form Expansion, Conditional Expectation, and Option Valuationarticle · 15 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 14 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 14 shared references 2020Implied Stochastic Volatility Modelsarticle · 14 shared references 2020Closed-form implied volatility surfaces for stochastic volatility models with jumpsarticle · 13 shared references

Details

Year2014

Typearticle

Published2014-01-22

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations62

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jeconom.2014.01.003

openalex_workW3121998124

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