Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied by subsequent researchers and various models have been developed in an attemp...
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| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10012/6869 |