LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

analytical tractability explicit option pricing forward measure local-volatility models lognormal-mixture dynamics mixure of densities stock-price dynamics volatility smaile

Mathematics Subject Classification ID

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Cites work

A closed-form solution for options with stochastic volatility with applications to bond and currency options
The pricing of options and corporate liabilities

Cited in

(39)

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On randomization of affine diffusion processes with application to pricing of options on VIX and S\&P 500

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