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Displaced and Mixture Diffusions for Analytically-Tractable Smile Models · Study

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ChapterDisplaced and Mixture Diffusions for Analytically-Tractable Smile Models

Damiano Brigo2002

Chapter2002

Displaced and Mixture Diffusions for Analytically-Tractable Smile Models

Damiano Brigo · Fabio Mercurio

49 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1987The Pricing of Options on Assets with Stochastic Volatilities 1976The valuation of options for alternative stochastic processes 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 2001Interest Rate Models Theory and Practice 1996Recovering Probability Distributions from Option Prices

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2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 2003Alternative asset-price dynamics and volatility smile 2003SMILE AT THE UNCERTAINTY 2004Bivariate normal mixture spread option valuation 2004Hedging with Stochastic Local Volatility

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2003Alternative asset-price dynamics and volatility smilearticle · 20 shared references 2002LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILESarticle · 13 shared references 2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effectsarticle · 13 shared references 2004Hedging with Stochastic Local Volatilitypreprint · 11 shared references 2004Option-Implied Risk-Neutral Distributions and Risk Aversionbook · 10 shared references 2001VOLATILITY SMILE CONSISTENT OPTION MODELS: A SURVEYarticle · 10 shared references

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Year2002

Typechapter

Published2002-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations49

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-12429-1_8

openalex_workW8706277

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