Option pricing based on a log-skew-normal mixture
J.A. Jiménez and V. Arunachalam (Department of Statistics, Universidad Nacional de Colombia, Bogotá, Colombia), G.M. Serna (Department of Business Studies, University of Alcalá de Henares, Alcalá de Henares (Madrid), España)
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Jiménez, José Alfredo ; Arunachalam, V. ; Serna, G. M. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 8, p. 1-22
|
| Subject: | Asymmetry | kurtosis | skew normal mixtures distribution | non-normal | option pricing | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491550051X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011418885