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Heston et al., 2017 - Google Patents

A spanning series approach to options

Heston et al., 2017

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Document ID
4114788000510400827
Author
Heston S
Rossi A
Publication year
Publication venue
The Review of Asset Pricing Studies

External Links

Snippet

This paper shows that Edgeworth expansions for option valuation are equivalent to approximating option payoffs using Hermite polynomials. Consequently, the value of an option is the value of an infinite series of replicating polynomials. The resultant formulas …
Continue reading at papers.ssrn.com (PDF) (other versions)

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