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Lognormal-Mixture Dynamics And Calibration To Market Volatility Smiles

Citations

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Cited by:

  1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
  2. Carol Alexandra & Leonardo M. Nogueira, 2005. "Optimal Hedging and Scale Inavriance: A Taxonomy of Option Pricing Models," ICMA Centre Discussion Papers in Finance icma-dp2005-10, Henley Business School, University of Reading, revised Nov 2005.
  3. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
  4. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
  5. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
  6. Philip Nadler & Alessio Sancetta, 2023. "Empirical Asset Pricing with Functional Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1258-1281.
  7. Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019. "A non-structural investigation of VIX risk neutral density," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
  8. Roman V. Ivanov, 2023. "On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model," Risks, MDPI, vol. 11(6), pages 1-23, June.
  9. Rania Hentati & Jean-Luc Prigent, 2011. "Portfolio Optimization Within Mixture Of Distributions," Post-Print hal-00607105, HAL.
  10. 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.
  11. Carol Alexander & Leonardo M. Nogueira, 2006. "Hedging Options with Scale-Invariant Models," ICMA Centre Discussion Papers in Finance icma-dp2006-03, Henley Business School, University of Reading.
  12. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  13. Pertaia Giorgi & Uryasev Stan, 2019. "Fitting heavy-tailed mixture models with CVaR constraints," Dependence Modeling, De Gruyter, vol. 7(1), pages 365-374, January.
  14. Damiano Brigo & Camilla Pisani & Francesco Rapisarda, 2021. "The multivariate mixture dynamics model: shifted dynamics and correlation skew," Annals of Operations Research, Springer, vol. 299(1), pages 1411-1435, April.
  15. Polotto, Franciele & Drigo Filho, Elso & Chahine, Jorge & Oliveira, Ronaldo Junio de, 2018. "Supersymmetric quantum mechanics method for the Fokker–Planck equation with applications to protein folding dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 286-300.
  16. Grith, Maria & Härdle, Wolfgang Karl & Kneip, Alois & Wagner, Heiko, 2016. "Functional principal component analysis for derivatives of multivariate curves," SFB 649 Discussion Papers 2016-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  17. Alessandro Ramponi, 2011. "Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing," Methodology and Computing in Applied Probability, Springer, vol. 13(2), pages 349-368, June.
  18. Xin Liu, 2016. "Asset Pricing with Random Volatility," Papers 1610.01450, arXiv.org, revised Sep 2018.
  19. Iain J. Clark & Saeed Amen, 2017. "Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios," Risks, MDPI, vol. 5(3), pages 1-17, July.
  20. Ding, Kailin & Ning, Ning, 2021. "Markov chain approximation and measure change for time-inhomogeneous stochastic processes," Applied Mathematics and Computation, Elsevier, vol. 392(C).
  21. Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.
  22. Maria Kyriacou & Jose Olmo & Marius Strittmatter, 2021. "Optimal portfolio allocation using option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 266-285, February.
  23. Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
  24. Christa Cuchiero & Irene Klein & Josef Teichmann, 2017. "A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting," Papers 1705.02087, arXiv.org.
  25. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
  26. Andrew Alden & Carmine Ventre & Blanka Horvath, 2024. "Scalable Signature-Based Distribution Regression via Reference Sets," Papers 2410.09196, arXiv.org.
  27. Donald Geman & H'elyette Geman & Nassim Nicholas Taleb, 2014. "Tail Risk Constraints and Maximum Entropy," Papers 1412.7647, arXiv.org.
  28. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
  29. Murphy, David & Vasios, Michalis & Vause, Nick, 2014. "Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models," Bank of England Financial Stability Papers 29, Bank of England.
  30. Donald Aingworth & Sanjiv Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 95-105.
  31. Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.
  32. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  33. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
  34. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  35. Rama Cont & Nicolas Lantos & Olivier Pironneau, 2011. "A reduced basis for option pricing," Post-Print hal-00522410, HAL.
  36. Labuschagne, Coenraad C.A. & von Boetticher, Sven T., 2016. "Dupire’s formulas in the Piterbarg option pricing model," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 148-162.
  37. Gianluca Vagnani, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Post-Print hal-00736952, HAL.
  38. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
  39. Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
  40. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.
  41. repec:hum:wpaper:sfb649dp2016-033 is not listed on IDEAS
  42. Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2016. "Retrieving Risk-Neutral Densities Embedded in VIX Options: a Non-Structural Approach," CREATES Research Papers 2016-20, Department of Economics and Business Economics, Aarhus University.
  43. Lech A. Grzelak, 2022. "Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities," Papers 2211.05014, arXiv.org, revised Nov 2024.
  44. Nicola F. Zaugg & Leonardo Perotti & Lech A. Grzelak, 2024. "Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces," Papers 2411.04041, arXiv.org, revised Nov 2024.
  45. Sana Ben Hamida & Rama Cont, 2005. "Recovering Volatility from Option Prices by Evolutionary Optimization," Post-Print hal-02490586, HAL.
  46. Tao L. Wu & Shengqiang Xu, 2014. "A Random Field LIBOR Market Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(6), pages 580-606, June.
  47. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  48. 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, University of Reading, revised Mar 2003.
  49. Henrik Hult & Filip Lindskog & Johan Nykvist, 2013. "A simple time-consistent model for the forward density process," Papers 1301.4869, arXiv.org.
  50. T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024. "On the Hull-White model with volatility smile for Valuation Adjustments," Papers 2403.14841, arXiv.org.
  51. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
  52. Abir Sridi & Paul Bilokon, 2023. "Applying Deep Learning to Calibrate Stochastic Volatility Models," Papers 2309.07843, arXiv.org, revised Sep 2023.
  53. J. A. Jiménez & V. Arunachalam & G. M. Serna, 2015. "Option Pricing Based On A Log–Skew–Normal Mixture," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-22, December.
  54. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
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