Sökning: "mixture of log-normals"
Hittade 1 uppsats innehållade orden mixture of log-normals.
1. Option Pricing for Continuous-Time Log-Normal Mixtures
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : In this thesis we study the log-normal mixture option pricing model proposed by Brigo and Mercurio [1]. This model is of particular interest since it is an analytically tractable generalization of the Black-Scholes option pricing model, but essentially of the same degree of complexity when it comes to computing option prices and hedging. LÄS MER
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