Saddlepoint approximations to option prices
Rogers, L. C. G. ; Zane, O.
Ann. Appl. Probab., Tome 9 (1999) no. 1, p. 493-503 / Harvested from Project Euclid
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The use of saddlepoint approximations in statistics is a well-established technique for computing the distribution of a random variable whose moment generating function is known. In this paper, we apply the methodology to computing the prices of various European-style options, whose returns processes are not the Brownian motion with drift assumed in the Black-Scholes paradigm. Through a number of examples, we show that the methodology is generally accurate and fast.
Publié le : 1999-05-14
Classification:  Option-pricing,  saddlepoint approximations,  Lévy processes,  Fourier transform,  90A09,  62E17,  60J30 
@article{1029962752,
     author = {Rogers, L. C. G. and Zane, O.},
     title = {Saddlepoint approximations to option prices},
     journal = {Ann. Appl. Probab.},
     volume = {9},
     number = {1},
     year = {1999},
     pages = { 493-503},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029962752}
}

Rogers, L. C. G.; Zane, O. Saddlepoint approximations to option prices. Ann. Appl. Probab., Tome 9 (1999) no. 1, pp.  493-503. http://gdmltest.u-ga.fr/item/1029962752/