Browsing Masteruppsatser by Author "Björnander, Joakim"
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Option Pricing for Continuous-Time Log-Normal Mixtures
Björnander, Joakim (2012-06-08)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 ...