Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
Year of publication: |
2001-11
|
---|---|
Authors: | Alexander, Carol ; Narayanan, Sujit |
Institutions: | Henley Business School, University of Reading |
Subject: | Option Pricing with Normal Mixture Density Excess Kurtosis skewness | volatility uncertainty | exchange rates | equity indices |
-
Weak approximation of G-expectation
Fadina, Tolulope, (2014)
-
Radner equilibria under ambiguous volatility
Beißner, Patrick, (2013)
-
Hyperfinite construction of G-expectation
Fadina, Tolulope, (2015)
- More ...
-
Risk-adjusted Valuation of the Real Option to Invest
Alexander, Carol, (2014)
-
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
Alexander, Carol, (2004)
-
Alexander, Carol, (2003)
- More ...