Sökning: "Gauss-Hermite expansion"
Hittade 1 uppsats innehållade orden Gauss-Hermite expansion.
1. Studying dynamics in risk-neutral skewness using a Gauss-Hermite expansion on S&P 500 index options
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Building on a new method of pricing options by modelling the underlying risk-neutral distribution with 'physicist' Hermite polynomials, we assess the properties of these distributions over time. We employ a set of S&P 500 index options ranging from 2007 to 2016. LÄS MER
Resultatsidor:
1