Published:
This paper provides a new method to reverse-engineer a empirical distribution than corrects for excess skewness and kurtosis by matching up to the third-order cumulant, which gives insight what to do when the Black-Scholes assumptions are violated.
Published:
This is a derivation of unified arithmetic average asian option pricing PDE by Jan Vercer, which is achieved by replicating strategy and change of measure. A proper change of measure leads the pricing problem to a simple one-dimensional PDE without drift, which can be done via numerical methods.
Published:
This is an introduction about a novel regression based American options pricing method, which reduces the computaion costs of the traditional Monte Carlo methods.