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摘要翻译：
在波动率不变的情况下，利用累积量展开法推导出月和期权的精确闭式逼近。每月总和期权的回报是基于$N$caped（可能是下层）回报的总和。值得注意的是，$1/\sqrt{N}$可以用作Edgeworth展开中的一个小参数。这个展开式的前两个领先项在这里计算。结果表明，对于典型模态参数，所提出的闭式近似与数值结果吻合较好。
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英文标题：
《Cumulant Expansion and Monthly Sum Derivative》
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作者：
V.M. Belyaev
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
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 $1/\sqrt{N}$ can be used as a small parameter in Edgeworth expansion. First two leading terms of this expansion are calculated here. It is shown that the suggest closed-form approximation is in a good agreement with numerical results for typical mode parameters.
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PDF链接：
https://arxiv.org/pdf/1011.3975
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