Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management
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References listed on IDEAS
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More about this item
Keywordsmixed lognormal distribution; jump-diffusion; stochastic volatility; Greeks; risk-management;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-FIN-2004-08-16 (Finance)
- NEP-RMG-2004-08-16 (Risk Management)
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