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Operational Research

, Volume 2, Issue 2, pp 157–186 | Cite as

Valuation of exotic options using moments

  • Mauro D’Amico
  • Gianluca Fusai
  • Aldo Tagliani
Article

Abstract

In this paper we discuss the problem of recovering a density from its moments. For theoretical reasons, we propose the use of fractional moments combined with the Maximum Entropy density. We then discuss the application to the pricing of exotic options.

Keywords

Moment problem Exotic options Maximum Entropy principle 

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Copyright information

© Hellenic Operational Research Society 2002

Authors and Affiliations

  1. 1.IMQUniversità L. BocconiMilanoItalia
  2. 2.Facoltà di EconomiaSEMEQ, Università del Piemonte OrientaleNovaraItalia
  3. 3.DisaUniversità di TrentoTrentoItalia

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