Higher order asymptotic option valuation for non-Gaussian dependent returns

Kenichiro Tamaki; Masanobu Taniguchi

doi:10.1016/j.jspi.2006.06.023

Higher order asymptotic option valuation for non-Gaussian dependent returns

Kenichiro Tamaki, Masanobu Taniguchi^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	1043-1058
Number of pages	16
Journal	Journal of Statistical Planning and Inference
Volume	137
Issue number	3
DOIs	https://doi.org/10.1016/j.jspi.2006.06.023
Publication status	Published - 2007 Mar 1

Keywords

Black and Scholes model
Edgeworth expansion
Non-Gaussian stationary process
Option pricing

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/j.jspi.2006.06.023

Cite this

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abstract = "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.",

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AB - 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.

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Higher order asymptotic option valuation for non-Gaussian dependent returns

Abstract

Keywords

ASJC Scopus subject areas

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