Lognormal-mixture dynamics and calibration to market volatility smiles
By Damiano Brigo, Fabio Mercurio. 2002
155 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6ae790cd71f7f45634aa36b006c39f2eda5f8df0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- M. Shackleton
- Xinzhong Xu
- Stephen J. Taylor
- Carol Alexander
- Sanjiv Ranjan Das
- Xiaoquan Liu
- Donald Aingworth
- Leonardo M. Nogueira
In Finance
- M. Shackleton
- Xinzhong Xu
- Stephen J. Taylor
- Carol Alexander
- Sanjiv Ranjan Das
- Xiaoquan Liu
- Donald Aingworth
- Leonardo M. Nogueira
Citations in the corpus
- Stochastic Local Volatility (2008, background): “Dumas et al [8], Brigo and Mercurio [13] and Alexander [14]).”
- Model-free hedge ratios and scale-invariant models (2007, background): “Theorem 1 allows further models to be classified as scale-invariant including: mixture diffusions (such as in Brigo and Mercurio, 2002), uncertain volatility models (Avellaneda et al., 1995), double jump models (Naik, 1993; Duffie et al., 2000; Eraker, 2004), and Lévy processes (Schoutens, 2003)…”
- Robust risk measurement and model risk (2014, unknown): “Toworkwithmodel errors described by changes in probability laws, we need a way to quantify such changes, and for this we use relative entropy following Hansen and Sargent (2007). In Bayesian statistics, the relative entropy between posterior and prior distributions measures the information gained th”
- A simple approach for pricing equity options with Markov switching state variables (2006, methodology): “It complements the literature on trees with stochastic volatility (see e.g. Bollen 1998) as well as the normal mixture diffusion class of models (see e.g. Alexander (2004), Mercurio (2002), Brigo and Mercurio (2002) and Brigo et al. (2004)).”
- Closed-form transformations from risk-neutral to real-world distributions (2007, background): “2 Mixtures of lognormal densities Following Ritchey (1990), Melick and Thomas (1997) and Brigo and Mercurio (2002), the risk-neutral density of the asset price when options expire can be defined as a mixture of lognormal densities (hereafter MLN densities).”