相关论文: Cumulant Expansion and Monthly Sum Derivative

Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…

We consider closed-form approximations for European put option prices within the Heston and GARCH diffusion stochastic volatility models with time-dependent parameters. Our methodology involves writing the put option price as an expectation…

Several asymptotic expansions and formulas for cubic exponential sums are derived. The expansions are most useful when the cubic coefficient is in a restricted range. This generalizes previous results in the quadratic case and helps to…

In this paper we discuss a closed-form approximation of the likelihood functions of an arbitrary diffusion process. The approximation is based on an exponential ansatz of the transition probability for a finite time step $\Delta t$, and a…

We introduce techniques to analyze unitary operations in terms of quadratic form expansions, a form similar to a sum over paths in the computational basis when the phase contributed by each path is described by a quadratic form over…

The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic expansion is around the Black-Scholes…

We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VIX option prices and yields explicit implied volatility…

As well known, cumulant expansion is an alternative way to moment expansion to fully characterize probability distributions provided all the moments exist. If this is not the case, the so called escort mean values (or q-moments) have been…

We develop Edgeworth expansion theory for spot volatility estimator under general assumptions on the log-price process that allow for drift and leverage effect. The result is based on further estimation of skewness and kurtosis, when…

This paper focuses on inhomogeneous quadratic tests, which involve the sum of a dependent non-central chi-square with a Gaussian random variable. Unfortunately, no closed-form expression is available for the statistical distribution of the…

Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the…

This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calculated explicitly by exploiting the special structure…

We estimate short exponential sums weighted by the Fourier coefficients of a Maass form. This requires working out a certain transformation formula for non-linear exponential sums, which is of independent interest. We also discuss how the…

We obtain series expansion formulas for the Hadamard fractional integral and fractional derivative of a smooth function. When considering finite sums only, an upper bound for the error is given. Numerical simulations show the efficiency of…

We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass,…

We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the…

The aim of this paper is to investigate the use of close formula approximation for pricing European mortgage options. Under the assumption of logistic duration and normal mortgage rates the underlying price at the option expiry is…

We study an expansion method for high-dimensional parabolic PDEs which constructs accurate approximate solutions by decomposition into solutions to lower-dimensional PDEs, and which is particularly effective if there are a low number of…

The random vector of frequencies in a generalized urn model is viewed as conditionally independent random variables, given their sum. Such a representation is exploited to derive Edgeworth expansions for a sum of functions of such…

Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult to price jointly using classical pricing models due to the…