Alternative asset-price dynamics and volatility smile
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References listed on IDEAS
- Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
- Erik Schlögl, 2002.
"A multicurrency extension of the lognormal interest rate Market Models,"
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- Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA.
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- Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.
- repec:gam:jrisks:v:5:y:2017:i:3:p:35-:d:103608 is not listed on IDEAS
- Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
- Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
- Schneider, Stefan & Schneider, Stefan, 2010. "Power Spot Price Models with negative Prices," MPRA Paper 29958, University Library of Munich, Germany.
- Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, Reading University, revised Mar 2003.
- Marco Airoldi & Vito Antonelli & Bruno Bassetti & Andrea Martinelli & Marco Picariello, 2004. "Long Range Interaction Generating Fat-Tails in Finance," GE, Growth, Math methods 0404006, EconWPA, revised 27 Apr 2004.
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