Higher Order Asymptotic Option Valuation for Non-Gaussian Dependent Returns
نویسندگان
چکیده
This paper discusses the option pricing problems using statistical series expansion for the price process of an underlying asset. We derive the Edgeworth expansion for the stock log return via extracting dynamics structure of time series. Using this result, we investigate influences of the non-Gaussianity and the dependency of log return processes for option pricing. Numerical studies show some interesting features of them. keywords: Black and Scholes model; Edgeworth expansion; Non-Gaussian stationary process; Option pricing Short running titile: Higher Order Asymptotic Option Valuation AMS subject classification number: Primary: 91B24; 62M10; Secondary: 62M15; 91B84
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