TY - JOUR
T1 - Higher order asymptotic option valuation for non-Gaussian dependent returns
AU - Tamaki, Kenichiro
AU - Taniguchi, Masanobu
PY - 2007/3/1
Y1 - 2007/3/1
N2 - 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.
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.
KW - Black and Scholes model
KW - Edgeworth expansion
KW - Non-Gaussian stationary process
KW - Option pricing
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U2 - 10.1016/j.jspi.2006.06.023
DO - 10.1016/j.jspi.2006.06.023
M3 - Article
AN - SCOPUS:33750502285
VL - 137
SP - 1043
EP - 1058
JO - Journal of Statistical Planning and Inference
JF - Journal of Statistical Planning and Inference
SN - 0378-3758
IS - 3
ER -