Lognormal-mixture dynamics and calibration to market volatility smiles
Lognormal-mixture dynamics and calibration to market volatility smiles
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DOI：
10.1142/s0219024902001511
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发表时间：
2002-06
影响因子：
0.5
通讯作者：
D. Brigo;F. Mercurio
中科院分区：
文献类型：
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作者：
D. Brigo;F. Mercurio
我们引入了一个一般类的分析听话的模型的基础上，假设资产价格密度是由已知的基本密度的混合物的动态资产价格。我们认为对数正态混合模型作为一个基本的例子，推导出显式的动态，封闭形式的期权价格公式和隐含波动率函数的分析近似。然后，我们介绍了资产价格模型，通过移动以前的对数正态混合动力学，并研究其分析的易处理性。最后，我们考虑一个具体的例子校准到真实的市场期权数据。
We introduce a general class of analytically tractable models for the dynamics of an asset price based on the assumption that the asset-price density is given by the mixture of known basic densities. We consider the lognormal-mixture model as a fundamental example, deriving explicit dynamics, closed form formulas for option prices and analytical approximations for the implied volatility function. We then introduce the asset-price model that is obtained by shifting the previous lognormal-mixture dynamics and investigate its analytical tractability. We finally consider a specific example of calibration to real market option data.