Valuation of exotic options using moments

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2002 Italy English Publisher:Springer Science and Business Media LLCJournal:Operational Research, volume 2, pages 157-186 (issn: 1109-2858, eissn: 1866-1505,

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Authors: D'AMICO M.; FUSAI, Gianluca; TAGLIANI A.;

doi: 10.1007/bf02936326

handle: 11572/4586 , 11572/52984 , 11579/14908

Valuation of exotic options using moments

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Abstract

In this paper we discuss the problem of recovering a density from its moments. For theoretical reasons, we propose the use of fractional moments combined with the Maximum Entropy density. We then discuss the application to the pricing of exotic options.

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