Statistical modeling of skew-normal distributions provides a versatile framework for capturing asymmetry in univariate and multivariate data. By introducing a shape parameter to the classical normal ...
In this paper we propose a new pricing methodology for European-style multi-asset derivatives based on a family of normal mean–variance mixture copulas. The goal is to develop a copula-based method ...
In this paper the multivariate skew normal distribution, introduced by Azzalini and Dalla Valle (1996), is used as a basis in density expansions. A short summary of main properties of the distribution ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results