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- W171567785 abstract "The financial economic No Arbitrage assumption implies that in a complete market the price of any derivative security is the discounted value of its payoff function integrated against the appropriate state-price density (SPD). For most exotic path dependent payoffs, it is quite difficult to obtain a closed form expression for the state-price density, thus eliminating the prized possibility of an analytic expression for the option in question. In this article we value exotic options by matching moments to an approximating SPD from a very general, robust, and convenient class of density functions, known in the statistical literature as the Johnson (1949) family. The end result is an analytic expression for a wide variety of European style exotic options. Our formula is tested on Asian and Basket options and is found to be extremely robust when compared with Monte Carlo simulations and other numerical techniques." @default.
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- W171567785 date "1998-08-10" @default.
- W171567785 modified "2023-10-08" @default.
- W171567785 title "Valuing Exotic Options by Approximating the SPD with Higher Moments" @default.
- W171567785 hasPublicationYear "1998" @default.
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