Saddlepoint approximations to option price in a general equilibrium model
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Cited by:
- Kristensen, Dennis & Mele, Antonio, 2011.
"Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models,"
Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
- Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
- Rong Yuan & Debiao Meng & Haiqing Li, 2016. "Multidisciplinary reliability design optimization using an enhanced saddlepoint approximation in the framework of sequential optimization and reliability analysis," Journal of Risk and Reliability, , vol. 230(6), pages 570-578, December.
- E. Nicolato & D. Sloth, 2014. "Risk adjustments of option prices under time-changed dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 125-141, January.
- Mengzhe Zhang & Leunglung Chan, 2016. "Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-20, December.
- Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
- Wendong Zheng & Yue Kuen Kwok, 2014. "Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance," Applied Mathematical Finance, Taylor & Francis Journals, vol. 21(1), pages 1-31, March.
- Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
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Keywords
Option pricing Saddlepoint approximations Stochastic interest rates Stochastic volatility;Statistics
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