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  1. 1. Option Pricing for Continuous-Time Log-Normal Mixtures

    Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaper

    Författare :Joakim Björnander; [2012-06-08]
    Nyckelord :Option pricing; hedging; local volatility; mixture dynamics; mixture of log-normals; Black-Scholes;

    Sammanfattning : In this thesis we study the log-normal mixture option pricing model proposed by Brigo and Mercurio [1]. This model is of particular interest since it is an analytically tractable generalization of the Black-Scholes option pricing model, but essentially of the same degree of complexity when it comes to computing option prices and hedging. LÄS MER