LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q55891836, #quickstatements; #temporary_batch_1711234560214 |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank | |||
Normal rank | |||
Latest revision as of 12:46, 10 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES |
scientific article |
Statements
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (English)
0 references
22 June 2005
0 references
local-volatility models
0 references
stock-price dynamics
0 references
forward measure
0 references
mixure of densities
0 references
analytical tractability
0 references
explicit option pricing
0 references
lognormal-mixture dynamics
0 references
volatility smaile
0 references
