LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

DOI10.1142/S0219024902001511zbMath1107.91324OpenAlexW2009499537WikidataQ55891836 ScholiaQ55891836MaRDI QIDQ3022053

Damiano Brigo, Fabio Mercurio

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024902001511

zbMATH Keywords

forward measurestock-price dynamicsanalytical tractabilityexplicit option pricinglocal-volatility modelslognormal-mixture dynamicsmixure of densitiesvolatility smaile

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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