Option pricing under a normal mixture distribution derived from the Markov tree model
Year of publication: |
2012
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Authors: | Bhat, Harish S. ; Kumar, Nitesh |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 223.2012, 3 (16.12.), p. 762-774
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Subject: | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
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