Pricing and Inference with Mixtures of Conditionally Normal Processes.
Year of publication: |
2007
|
---|---|
Authors: | Bertholon, H. ; Monfort, A. ; Pegoraro, F. |
Institutions: | Banque de France |
Subject: | Derivative Pricing | Stochastic Discount Factor | Implied Volatility | Mixture of Normal Distributions | Mixture of Conditionally Normal Processes | Nonparametric Kernel Estimation | Mixed-Normal GARCH Processes | Switching Regime Models |
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