Pages that link to "Item:Q3022053"

The following pages link to LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053):

Displaying 28 items.

• Tail risk constraints and maximum entropy (Q296373) (← links)
• Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• Volatility smile as relativistic effect (Q1620616) (← links)
• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Supersymmetric quantum mechanics method for the Fokker-Planck equation with applications to protein folding dynamics (Q2148380) (← links)
• An accurate European option pricing model under fractional stable process based on Feynman path integral (Q2150099) (← links)
• Fitting heavy-tailed mixture models with CVaR constraints (Q2178951) (← links)
• The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
• Option pricing under a normal mixture distribution derived from the Markov tree model (Q2253395) (← links)
• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285) (← links)
• Local volatility dynamic models (Q2271723) (← links)
• Pricing cross-currency interest rate swaps under the Lévy market model (Q2423932) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS (Q2847242) (← links)
• Robust risk measurement and model risk (Q2879011) (← links)
• OPTION PRICING BASED ON A LOG–SKEW–NORMAL MIXTURE (Q3467595) (← links)
• Alternative asset-price dynamics and volatility smile (Q4647257) (← links)
• A chaos expansion approach under hybrid volatility models (Q5247273) (← links)
• A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS (Q5411745) (← links)
• Model-free price hedge ratios for homogeneous claims on tradable assets (Q5433092) (← links)
• HEDGING WITH ENERGY (Q5455260) (← links)
• A simple approach for pricing equity options with Markov switching state variables (Q5484634) (← links)
• IMPLIED KERNEL MODELS (Q5696294) (← links)
• The Randomized Heston Model (Q5742496) (← links)
• A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
• (Q5886729) (← links)
• State price density estimation with an application to the recovery theorem (Q6039126) (← links)