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q-fin.MF2026
Mixing-Law Uncertainty in Multivariate Normal Mean-Variance Mixtures: Semi-parametric Estimation and Robust Cumulative-Prospect Decisions
Nuerxiati Abudurexiti
The distribution of a normal mean-variance mixture depends on the law of its positive mixing variable. We compare six parametric mixing laws with a grid nonparametric maximum likel…
q-fin.MF2021
A note on closed-form spread option valuation under log-normal models
Nuerxiati Abudurexiti, Kai He, Dongdong Hu +1
In the papers Carmona and Durrleman [7] and Bjerksund and Stensland [1], closed form approximations for spread call option prices were studied under the log normal models. In this…