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Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects

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Alexander, C. (2004) Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects. Journal of Banking & Finance, 28 (12). pp. 2957-2980. ISSN 0378-4266

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To link to this article DOI: 10.1016/j.jbankfin.2003.10.017


Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:20564
Publisher:Elsevier
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