Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing (Q488215): Difference between revisions
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| Property / cites work: SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION / rank | |||
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| Property / cites work: When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel / rank | |||
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| Property / cites work: Q4905685 / rank | |||
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Latest revision as of 14:11, 9 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing |
scientific article |
Statements
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing (English)
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23 January 2015
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mixture of distributions
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transformed-normal distribution
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risk neutral valuation relationship
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option pricing
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