LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053)
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scientific article; zbMATH DE number 2177829
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| English | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES |
scientific article; zbMATH DE number 2177829 |
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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0.8586991429328918
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0.850945234298706
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0.8051294684410095
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0.7915183305740356
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