LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES |
scientific article |
Statements
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (English)
0 references
22 June 2005
0 references
local-volatility models
0 references
stock-price dynamics
0 references
forward measure
0 references
mixure of densities
0 references
analytical tractability
0 references
explicit option pricing
0 references
lognormal-mixture dynamics
0 references
volatility smaile
0 references
