Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing (Q488215)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6390318
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing |
scientific article; zbMATH DE number 6390318 |
Statements
Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing (English)
0 references
23 January 2015
0 references
mixture of distributions
0 references
transformed-normal distribution
0 references
risk neutral valuation relationship
0 references
option pricing
0 references
0 references
0.7941693663597107
0 references
0.7798888683319092
0 references
0.7673325538635254
0 references
0.7646284103393555
0 references
