Adaptive mixture for a controlled smile: the LT model

DOI10.1080/14697680400016141MaRDI QIDQ4610258zbMATH OpenOpenAlexFDO

Authors Nadhem Meziou

Publication date 15 January 2019

Full work available at URL https://doi.org/10.1080/14697680400016141

zbMATH Keywords

European optionsforward volatility surfaceLT model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Option pricing: A simplified approach
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• The pricing of options and corporate liabilities

Cited in

(1)

• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

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