Displaced and Mixture Diffusions for Analytically-Tractable Smile Models
碩士 === 國立政治大學 === 應用數學研究所 === 97 === Brigo and Mercurio proposed three types of asset-price dynamics which are shifted-CEV process, shifted-lognormal process and mixture-of-lognormals process respectively. In these three processes, the volatility of the asset price is no more a constant but a determ...
Main Authors: | , |
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2008
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Online Access: | http://ndltd.ncl.edu.tw/handle/00415757699089326490 |