Saddlepoint approximations to option prices

• 成果类型: Article
• 署名作者: Rogers, LCG; Zane, O
• 署名单位: University of Bath
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1999
• 页码: 493-503
• 关键词: stochastic volatility

摘要

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.