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Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
In this note, we give approximate closed form expressions for VaR and CVaR of portfolios of returns with NMVM distributions.
A note on closed-form spread option valuation under log-normal models
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.
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