LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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Latest revision as of 11:31, 30 July 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)
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22 June 2005
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local-volatility models
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stock-price dynamics
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forward measure
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mixure of densities
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analytical tractability
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explicit option pricing
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lognormal-mixture dynamics
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volatility smaile
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