Bivariate Normal Mixture Spread Option Valuation

2003 ◽  
Author(s):  
Carol Alexander ◽  
Andrew Scourse
Keyword(s):  
Option Valuation ◽  
Normal Mixture ◽  
Bivariate Normal ◽  
Spread Option

Bivariate normal mixture spread option valuation

2004 ◽  
Vol 4 (6) ◽  
pp. 637-648 ◽  
Author(s):  
Carol Alexander ◽  
Andrew Scourse
Keyword(s):  
Option Valuation ◽  
Normal Mixture ◽  
Bivariate Normal ◽  
Spread Option

scholarly journals Closed Form Spread Option Valuation

2006 ◽  
Author(s):  
Petter Bjerksund ◽  
Gunnar Stensland
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Spread Option

Option Valuation with Normal Mixture GARCH Models

2008 ◽  
Vol 12 (2) ◽  
Author(s):  
Alex Badescu ◽  
Reg Kulperger ◽  
Emese Lazar
Keyword(s):  
Garch Models ◽  
Option Valuation ◽  
Normal Mixture

scholarly journals Closed form spread option valuation

2011 ◽  
Vol 14 (10) ◽  
pp. 1785-1794 ◽  
Author(s):  
Petter Bjerksund ◽  
Gunnar Stensland
Keyword(s):  
Closed Form ◽  
Option Valuation ◽  
Spread Option

scholarly journals Long term spread option valuation and hedging

2008 ◽  
Vol 32 (12) ◽  
pp. 2530-2540 ◽  
Author(s):  
M.A.H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Option Valuation ◽  
Term Spread ◽  
Spread Option
Sign in / Sign up

Export Citation Format

Share Document