Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
By Damiano Brigo, Fabio Mercurio. 2002
68 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9cec5f93c44960458a9c811fa2f6d1834d739ce1
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
- Damiano Brigo
- Fabio Mercurio
- Rita Scotti
- F. Rapisarda
- Daniel Sevcovic
- Carol Alexander
- David Hobson *
- P. Laurence
In Finance
- Damiano Brigo
- Fabio Mercurio
- Rita Scotti
- F. Rapisarda
- Daniel Sevcovic
- Carol Alexander
- David Hobson *
- P. Laurence
Citations in the corpus
- Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects (2004, unknown): “Then Brigo and Mercurio (2001a) and Brigo (2002) prove that the local volatility in (1) that is consistent with the price densities (2) is given by:12 σ(x, t) = ∑ 1= 2σλ m i i * t,i )t( where )x(f/)x( tt,ii * t,i φλ=λ (3) Since market completeness is preserved in this framework, arbitrage-free…”
- Approximated moment-matching dynamics for basket-options pricing (2004, methodology): “A model for the risk-neutral valuation of basket options that is consistent with volatility smiles of single names in the basket is presented in Brigo et al (2002) and is a generalization of the mixture dynamics smile model for single assets given in Brigo and Mercurio (2000, 2001).”
- Lognormal-mixture dynamics and calibration to market volatility smiles (2002, background): “6) is in Brigo and Mercurio [6].”