The Arbitrage-Free Multivariate Mixture Dynamics Model : Consistent Single-Assets and Index Volatility Smiles
Year of publication: |
2014
|
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Authors: | Brigo, Damiano |
Other Persons: | Rapisarda, Francesco (contributor) ; Sridi, Abir (contributor) |
Publisher: |
[2014]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Statistische Verteilung | Statistical distribution |
Extent: | 1 Online-Ressource (47 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 24, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2226053 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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