Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing (Q488215): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / zbMATH DE Number: 6390318 / rank | |||
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mixture of distributions | |||
| Property / zbMATH Keywords: mixture of distributions / rank | |||
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transformed-normal distribution | |||
| Property / zbMATH Keywords: transformed-normal distribution / rank | |||
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risk neutral valuation relationship | |||
| Property / zbMATH Keywords: risk neutral valuation relationship / rank | |||
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option pricing | |||
| Property / zbMATH Keywords: option pricing / rank | |||
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Revision as of 22:04, 30 June 2023
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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