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I heard people say when there is no closed form analytical solution, one can use moment matching. I wanted to know how moment matching helps in finding solution to a modelling/pricing problem. Also , what is the maximum number of moments one should match.Any guidance/references would be greatly appreciated.thanks

It is nothing else that finding a random variable -much more mathematically tractable, and that approximates the original one in the sense that the first moments of both coincide- as a proxy.

thanks. can you please explain it with an example.

For example, moment matching applied to asian options on arithmetic average, or applied to options on baskets.

thanks a lot for such a clear example.

Moment matching is rarely a good approach in finance or statistics, and virtually never a good approach when matching more than two moments.