A Moment-based Analytic Approximation of the Risk-Neutral Density of American Options (AMF - Vol 23)
Abstract The price of a European option can be computed as the expected value of the payoff function under the risk-neutral measure. For ...
The profitability of moving average trading rules in BRICS and emerging stock markets
Abstract Technical analysis and trading systems have been widely used by practitioners in financial markets. Since some academic studies...
A Monte Carlo Multi-Asset Option Approximation for General Stochastic Processes
Abstract We derived a model-free analytical approximation of the price of a multi-asset option defined over an arbitrary multivariate...