Login / Signup

Option pricing under a normal mixture distribution derived from the Markov tree model.

Harish S. BhatNitesh Kumar
Published in: Eur. J. Oper. Res. (2012)
Keyphrases
  • option pricing
  • probabilistic model
  • em algorithm
  • markov tree
  • objective function
  • probability distribution
  • nearest neighbor
  • maximum likelihood
  • statistical model
  • statistical methods
  • mixture distribution