Adaptive mixture for a controlled smile: the LT model

DOI10.1080/14697680400016141zbMath1405.91644OpenAlexW2041963263MaRDI QIDQ4610258

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)

Cites Work

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

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