Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing
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Publication:488215
DOI10.1007/s11147-013-9093-5zbMath1304.91227OpenAlexW2027746851MaRDI QIDQ488215
Publication date: 23 January 2015
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-013-9093-5
option pricingmixture of distributionsrisk neutral valuation relationshiptransformed-normal distribution
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