This paper approaches the problem of computing the price of Monthly Sum derivative in a framework of Cumulant Expansion .
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of N caped (and probably floored) returns. It is noticed, that 1/\sqrt{N .
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This paper approaches the problem of computing the price
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff
R
derivative in a framework of Cumulant Expansion
Option is based on sum of N caped (and probably floored) returns. It is noticed, that 1/\sqrt{N