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We present an efficient moment based approximation method for option pricing.
Sample average approximation method was used to solve the model.
To avoid repetitive analyses, successive convex approximation method is used.
We prove that this approximation method provides a lower bound.
This method is based on the local approximation method.
The approximation method is a special case of Floater's conic approximation method (Comput. Aided Geom. Design 8 (1991 135).
Nishitsuji, T., Shimobaba, T., Kakue, T., Arai, D. & Ito, T. Simple and fast cosine approximation method for computer-generated hologram calculation.
In this paper we propose an approximation method that seeks a compromise between solution accuracy and computational efficiency.
We propose an approximation method for analyzing Ericson and Pakes (1995 -style 1995 -styleels of imperfect competition.
Illyushin's approximation method is used to derive the viscoelastic solution.
The Rayleigh Ritz approximation method is used in the analysis.
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