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Valuation of volatility derivatives with time-varying volatility: An analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case.

Sanae Rujivan
Published in: J. Comput. Appl. Math. (2023)
Keyphrases
  • financial markets
  • stock market
  • stock price
  • mixture distribution
  • higher order
  • information theoretic
  • autoregressive conditional heteroscedasticity
  • bayesian networks
  • pairwise
  • normal distribution