Bivariate normal mixture spread option valuation (Q4610274): Difference between revisions
From MaRDI portal
Latest revision as of 20:57, 17 July 2024
scientific article; zbMATH DE number 7002164
Language | Label | Description | Also known as |
---|---|---|---|
English | Bivariate normal mixture spread option valuation |
scientific article; zbMATH DE number 7002164 |
Statements
Bivariate normal mixture spread option valuation (English)
0 references
15 January 2019
0 references
European spread options
0 references
implied correlation, bivariate normal mixture density
0 references
0 references