Bivariate normal mixture spread option valuation
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680400016174
Reference27 articles.
1. Alexander, C. Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects J. Banking Finance, 2004; 28: 2957–80
2. Alexander, C, Lazar, E. The continuous limit of GARCH models ISMA Centre Discussion Papers in Finance 2004-10, 2004; Available from
3. Bingham, N H, Kiesel, R. Semi-parametric modelling in finance: theoretical foundations Quant. Finance, 2002; 2: 241–50
4. Black, F. The pricing of commodity contracts J. Financial Economics, 1976; 3: 167–79
5. Black, F, Scholes, M. The pricing of options and corporate liabilities J. Political Economy, 1973; 81: 637–54
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