Adaptive mixture for a controlled smile: the LT model

References

References

• Alexander C Brintalos G Nogueira L 2003 Short and long term smile effects: the binomial normal mixture diffusion model ISMA Centre Discussion Papers in Finance 2003–06
   Google Scholar
• Andersen , L and Andreasen , J . 2000 . Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing . Rev. Derivatives Research , 4 : 231 – 62 .
   Google Scholar
• Black , F and Scholes , M . 1973 . The pricing of options and corporate liabilities . J. Political Economy , 81 : 637 – 54 .
   Web of Science ®Google Scholar
• Boyle , P P . 1986 . Option valuation using a three-jump process . Int. Options J. , 3 : 7 – 12 .
   Google Scholar
• Brigo D 2002 The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation Working Paper, Banca IMI, San Paolo IMI Group Milano Italy
   Google Scholar
• Brigo , D and Mercurio , F . 2000 . A mixed-up smile . Risk , 13 : 123 – 6 .
   Google Scholar
• Brigo D Mercurio F Sartorelli G 2002 Lognormal-mixture dynamics under different means Working Paper, Produdct and Business Development Group, Banca IMI Milano Italy
   Google Scholar
• Carr P Geman H Madan D Yor M 2001 Stochastic volatility for Lévy processes Math. Finance forthcoming
   Google Scholar
• Cox , J C , Ross , S and Rubinstein , M . 1979 . Option pricing: a simplified approach . J. Financial Economics , 7 : 229 – 64 .
   Web of Science ®Google Scholar
• Derman , E and Kani , I . 1994 . Riding on a smile . Risk , 7 : 32 – 9 .
   Google Scholar
• Derman , E and Kani , I . 1998 . Stochastic implied trees: arbitrage pricing with stochastic term and strike structure of volatility . Int. J. Theoretical and Applied Finance , 1 : 61 – 110 .
   Google Scholar
• Dupire , B . 1994 . Pricing with a smile . Risk , 7 : 18 – 20 .
   Google Scholar
• Dupire B 1998 A new approach for understanding the impact of volatility on option prices Working Paper Nikko Financial Products
   Google Scholar
• Johnson N L Kotz S Balakrishnan N 1994 Continuous Univariate Distributions (Wiley Series in Probability and Mathematical Statistics)
   Google Scholar
• Lipton A 2002 Path-dependent options on assets with jumps and a new approach to credit default spreads Global Derivatives and Risk Management. The 9th Annual Conference Barcelona May 15–16
   Google Scholar
• Rubinstein , M . 1994 . Implied binomial trees . J. Finance , 49 : 771 – 818 .
   Web of Science ®Google Scholar