Bivariate normal mixture spread option valuation (Q4610274): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697680400016174 / rank | |||
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| Property / cites work: Semi-parametric modelling in finance: theoretical foundations / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Pricing and Hedging Spread Options / rank | |||
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| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
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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)
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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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