LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
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Publication:3022053
DOI10.1142/S0219024902001511zbMath1107.91324WikidataQ55891836 ScholiaQ55891836MaRDI QIDQ3022053
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
forward measure; stock-price dynamics; analytical tractability; explicit option pricing; local-volatility models; lognormal-mixture dynamics; mixure of densities; volatility smaile
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