Valuation of exotic options using moments

• Abate, J. and Whitt, W. (1992). The Fourier-series method for inverting transforms of probability distributions, Queueing Systems Theory Appl. vol. 10, 5–88.

  Article  Google Scholar 

• Akhiezer, N.I. (1965). The Classical Moment Problem and some Related Questions in Analysis. Oliver & Boyd, London.

  Google Scholar 

• Avellaneda, M. (1998). Minimum Entropy Calibration of Asset Pricing Models. Journal of Theoretical and Applied Finance vol. 1(4), 447–472.

  Article  Google Scholar 

• Buchen, P.W. and Kelly, M. (1996). The Maximum Entropy Distribution of an Asset Inferred from Option Prices, Journal of Financial and Quantitative Analysis vol. 31(1), 143–159.

  Article  Google Scholar 

• Cressie, N. (1986). The Moment Generating Function has its Moments. Journal of Statistical Planning and Inference vol. 13, 337–344.

  Article  Google Scholar 

• Dufresne, D. (1989). Weak Convergence of Random Growth Processes with Applications to Insurance. Insurance: Math. Econonom. vol. 8, 187–201.

  Article  Google Scholar 

• Dufresne, D. (2000). Laguerre Series for Asian and Other Options. Mathematical Finance vol. 10(4), 407–428.

  Article  Google Scholar 

• Fusai, G. (2001). Applications of the Laplace Transform for Evaluating Occupation Time Options and other Derivatives. PhD. Thesis, University of Warwick.

• Fusai, G. and Tagliani, A. (2002). An Accurate Valuation of Asian Options Using Moments, International Journal of Theoretical and Applied Finance vol. 5(2), 147–169

  Article  Google Scholar 

• Geman, H. and Yor, M. (1992). Quelques Relations Entre Processus de Bessel, Options Asiatique et Fonctions Confluentes Hypergéométriques. C.R. Acad. Sci. Paris vol. 314(1), 471–474.

  Google Scholar 

• Geman, H. and Yor, M. (1993). Bessel Processes, Asian Options and Perpetuities. Mathematical Finance vol. 3(4), 349–375.

  Article  Google Scholar 

• Golan, A., Judge, G. and Miller, D. (1996). Maximum Entropy Econometrics: Robust Estimation with Limited Data, John Wiley & Sons.

• Jaynes, E.T. (1978). Where Do we Stand on Maximum Entropy, in The Maximum Entropy Formalism, (R.D. Levine and M. Tribus, eds.). MIT Press Cambridge MA, 15–118.

  Google Scholar 

• Kesavan, H.K. and Kapur, J.N. (1992). Entropy Optimization Principles with Applications. Academic Press.

• Kullback, S. (1967). A lower bound for discrimination information in terms of variation. IEEE Trans, on Information Theory IT-13, 126–127.

  Google Scholar 

• Levy, E. (1992). Pricing European Average Rate Currency Options. Journal of International Money and Finance vol. 11, 474–491.

  Article  Google Scholar 

• Lin, G.D. (1992). Characterizations of Distributions via Moments. Sankhja: The Indian Journal of Statistics vol. 54, Series A, 128–132.

  Google Scholar 

• Lindsay, B.G. and Basak, P. (1995). Moments Determine the Tail of a Distribution (But not Much Else). Technical report 95-7, Center for likelihood Studies, Dept. of Statistics, The Pennsylvania State University, University Park, PA.

  Google Scholar 

• Lindsay, B.G. and Roeder, K. (1997). Moment-based Oscillation Properties of Mixture Models. Ann. Statist, vol. 25, 378–386.

  Article  Google Scholar 

• Shohat, J.A. and Tamarkin, J.D. (1943). The Problem of Moments. AMS Mathematical Survey, 1, Providence RI.

• Stoyanov, J. (1997). Counterexamples in Probability (2nd edition). Wiley Series in Probability and Statistics.

• Tagliani, A. (2001). Recovering a Probability Density Function from its Mellin Transform, Applied Mathematics and Computation vol. 118, 151–159.

  Article  Google Scholar 

• Thompson, G.W.P. (1999). Topics in Mathematical Finance. PhD. Thesis, Queens’ College, January.

• Turnbull, S. and Wakeman, L. (1991). A Quick Algorithm for Pricing European Average Options. Journal of Financial and Quantitative Analysis vol. 26, 377- 89.

  Article  Google Scholar 

• Wilmott, P., Dewynne, J.N. and Howison, S. (1993). Option Pricing: Mathematical Models and Computation. Oxford Financial Press.

Download references