Search Results - subject:"bivariate normal"

Construction of bivariate fan chart from joint distribution

Shaw, Purnima - 2020

Persistent link: https://www.econbiz.de/10012271999

Tail approximation of the skew-normal by the skew-normal Laplace : application to Owen’s T functionand the bivariate normal distribution

Hürlimann, Werner - In: Journal of statistical and econometric methods 2 (2013) 1, pp. 1-12

By equal mean, two skew-symmetric families with the same kernel are quite similar, and the tails are often very close together. We use this observation to approximate the tail distribution of the skew-normal by the skew-normal-Laplace, and accordingly obtain a normal function approximation to...

Persistent link: https://www.econbiz.de/10009769909

Bivariate Normal Mixture Spread Option Valuation

Alexandra, Carol; Scourse, Andrew - Henley Business School, University of Reading - 2003

distribution each asset return is assumed to be a mixture of normal distributions. In this ‘bivariate normal mixture’ (BNM … bivariate normal mixture density of the asset returns. …

Persistent link: https://www.econbiz.de/10005558278