مرکز منطقه ای اطلاع رساني علوم و فناوري - Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

Title of article :

Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

Author/Authors :

Carol Alexander، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2004

Pages :

From page :

2957

To page :

2980

Keywords :

Normal variance mixtures , Termstructure of option prices , Local volatility , Stochastic Volatility , Volatility uncertainty , Smile consistent models

Journal title :

Journal of Banking and Finance

Serial Year :

2004

Journal title :

Journal of Banking and Finance

Record number :

193669

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193669