Bivariate normal mixture spread option valuation (Q4610274): Difference between revisions

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Latest revision as of 20:57, 17 July 2024

scientific article; zbMATH DE number 7002164
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English
Bivariate normal mixture spread option valuation
scientific article; zbMATH DE number 7002164

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    Bivariate normal mixture spread option valuation (English)
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    15 January 2019
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    European spread options
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    implied correlation, bivariate normal mixture density
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