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A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant

https://doi.org/10.2139/ssrn.1858070
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inferredcites →https://doi.org/10.1007/bf00655090openalex-extracted
Solving the Eliashberg equations by means ofN-point Pad� approximants
inferredcites →https://doi.org/10.1016/j.jedc.2008.04.007openalex-extracted
Saddlepoint approximations for affine jump-diffusion models
inferredcites →https://doi.org/10.1016/j.jfineco.2007.12.003openalex-extracted
Option valuation with long-run and short-run volatility components☆
inferredcites →https://doi.org/10.1017/cbo9780511530074.009openalex-extracted
Extensions of Padé approximants
inferredcites →https://doi.org/10.1017/s0266466600008914openalex-extracted
On the Approximation of Saddlepoint Expansions in Statistics
inferredcites →https://doi.org/10.1051/aas:1998221openalex-extracted
Expansions for nearly Gaussian distributions
inferredcites →https://doi.org/10.1093/biomet/38.3-4.481openalex-extracted
Note on the Inversion Theorem
inferredcites →https://doi.org/10.1093/rfs/13.3.585openalex-extracted
A Closed-Form GARCH Option Valuation Model
inferredcites →https://doi.org/10.1093/rfs/15.1.243openalex-extracted
Quadratic Term Structure Models: Theory and Evidence
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-extracted
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1103/physrev.124.768openalex-extracted
Application of the Padé Approximant Method to the Investigation of Some Magnetic Properties of the Ising Model
inferredcites →https://doi.org/10.1103/physrevd.84.063006openalex-extracted
Gamma-ray halos as a measure of intergalactic magnetic fields: A classical moment problem
inferredcites →https://doi.org/10.1109/7.272264openalex-extracted
Pade approximations of probability density functions
inferredcites →https://doi.org/10.1111/0022-1082.00278openalex-extracted
Specification Analysis of Affine Term Structure Models
inferredcites →https://doi.org/10.1111/1467-9965.12408openalex-extracted
PRICING COUPON‐BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00316.xopenalex-extracted
LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02749.xopenalex-extracted
Empirical Performance of Alternative Option Pricing Models
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01241.xopenalex-extracted
Model Specification and Risk Premia: Evidence from Futures Options
inferredcites →https://doi.org/10.1162/rest.2010.11549openalex-extracted
Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
inferredcites →https://doi.org/10.1214/aoap/1029962752openalex-extracted
Saddlepoint approximations to option prices
inferredcites →https://doi.org/10.2139/ssrn.121313openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.157733openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
inferredcites →https://doi.org/10.2139/ssrn.1971190openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.269353openalex-extracted
Pricing Swaptions within the Affine Framework
inferredcites →https://doi.org/10.2139/ssrn.686821openalex-extracted
Option Valuation with Long-Run and Short-Run Volatility Components
inferredcites →https://doi.org/10.2307/1426607openalex-extracted
Saddle point approximation for the distribution of the sum of independent random variables
inferredcites →https://doi.org/10.2307/1912287openalex-extracted
ERA's: A New Approach to Small Sample Theory
inferredcites →https://doi.org/10.2307/2329472openalex-extracted
inferredcites →https://doi.org/10.2307/2332598openalex-extracted
inferredcites →https://doi.org/10.2307/3595006openalex-extracted
Asset Pricing under the Quadratic Class
inferredcites →https://doi.org/10.3905/jod.2002.319187openalex-extracted
Pricing Swaptions Within an Affine Framework
inferredcites →https://doi.org/10.1023/a:1009654427422openalex-snapshot
Stochastic duration and fast coupon bond option pricing in multi-factor models
inferredcites →https://doi.org/10.1111/mafi.12014openalex-snapshot
SWAPTION PRICING IN AFFINE AND OTHER MODELS
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