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- W1488731430 abstract "In this article, we generalize the classical Edgeworth series expansion used in the option pricing literature. We obtain a closed-form pricing formula for European options by employing a generalized Hermite expansion for the risk neutral density. The main advantage of the generalized expansion is that it can be applied to heavy-tailed return distributions, a case for which the standard Edgeworth expansions are not suitable. We also show how the expansion coefficients can be inferred directly from market option prices." @default.
- W1488731430 created "2016-06-24" @default.
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- W1488731430 date "2013-01-01" @default.
- W1488731430 modified "2023-09-23" @default.
- W1488731430 title "Closed Form Option Pricing Under Generalized Hermite Expansions" @default.
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- W1488731430 doi "https://doi.org/10.2139/ssrn.2349868" @default.
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