scholarly journals Edgeworth expansion for the kernel quantile estimator

2009 ◽  
Vol 63 (3) ◽  
pp. 617-644 ◽  
Author(s):  
Yoshihiko Maesono ◽  
Spiridon Penev
Keyword(s):  
Edgeworth Expansion ◽  
Kernel Quantile Estimator

Pricing spread options by generalized bivariate edgeworth expansion

2017 ◽  
Vol 04 (02n03) ◽  
pp. 1750017
Author(s):  
Edward P. C. Kao ◽  
Weiwei Xie
Keyword(s):  
Edgeworth Expansion ◽  
Price Difference ◽  
Empirical Estimation ◽  
Strike Price ◽  
Closed Form Solutions ◽  
Spread Options ◽  
Valuation Process ◽  
The Difference ◽  
Spread Option ◽  
Underlying Processes

A spread option is a contingent claim whose underlying is the price difference between two assets. For a call, the holder of the option receives the difference, if positive, between the price difference and the strike price. Otherwise, the holder receives nothing. Spread options trade in large volume in financial, fixed-income, commodity, and energy industries. It is well known that pricing of spread options does not admit closed-form solutions even under a geometric Brownian motion paradigm. When price dynamics experience stochastic volatilities and/or jumps, the valuation process becomes more challenging. Following the seminal work of Jarrow and Judd, we propose the use of Edgeworth expansion to approximate the call price. In the spirit of Pearson, we reduce the cumbersome computation inherent in Edgeworth expansion to single numerical integrations. For an arbitrary bivariate price process, we show that once its product cumulants are available, either by virtue of the structural properties of the underlying processes or by empirical estimation using market data, the approach enables analysts to approximate the call price easily. Specifically, the call prices so estimated capture the correlation, skewness, and kurtosis of the two underlying price processes. As such, the approach is useful for approximate valuations based on Lévy-based models.

scholarly journals Edgeworth expansion for U -statistics under minimal conditions

2003 ◽  
Vol 31 (4) ◽  
pp. 1376-1391 ◽  
Author(s):  
Bing-Yi Jing ◽  
Qiying Wang
Keyword(s):  
Edgeworth Expansion ◽  
U Statistics

An Edgeworth expansion for functionals of Gaussian fields and its applications

2018 ◽  
Vol 128 (12) ◽  
pp. 3967-3999 ◽  
Author(s):  
Yoon Tae Kim ◽  
Hyun Suk Park
Keyword(s):  
Edgeworth Expansion ◽  
Gaussian Fields

Weakly nonlinear Gaussian fluctuations and the edgeworth expansion

1995 ◽  
Vol 442 ◽  
pp. 39 ◽  
Author(s):  
Roman Juszkiewicz ◽  
David H. Weinberg ◽  
Piotr Amsterfamski ◽  
Michal Chodorowski ◽  
Francois Bouchet
Keyword(s):  
Edgeworth Expansion ◽  
Weakly Nonlinear ◽  
Gaussian Fluctuations
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