Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models

By Dennis Kristensen, A. Melé. 2011

52 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/21465defe86f6b618fa4e4d5357f5b5487a15a41

Citations in the corpus

• Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “For example, one could use transition densities developed in this paper, while approximating asset prices using the generalized Fourier transform in Chen and Joslin (2011), whenever the payoff function allows it, or the error expansion method from Kristensen and Mele (2011).”
• Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Recently, Kristensen and Mele (2011) propose an approach to approximating the option price by expanding the difference between the true model price and the Black–Scholes price.”