Matches in SemOpenAlex for { <https://semopenalex.org/work/W1684174938> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W1684174938 abstract "In the present paper, given an evolving mixture of probability densities, we define a candidate diffusion process whose marginal law follows the same evolution. We derive as a particular case a stochastic differential equation (SDE) admitting a unique strong solution and whose density evolves as a mixture of Gaussian densities. We present an interesting result on the comparison between the instantaneous and the terminal correlation between the obtained process and its squared diffusion coefficient. As an application to mathematical finance, we construct diffusion processes whose marginal densities are mixtures of lognormal densities. We explain how such processes can be used to model the market smile phenomenon. We show that the lognormal mixture dynamics is the one-dimensional diffusion version of a suitable uncertain volatility model, and suitably reinterpret the earlier correlation result. We explore numerically the relationship between the future smile structures of both the diffusion and the uncertain volatility versions." @default.
- W1684174938 created "2016-06-24" @default.
- W1684174938 creator A5005254246 @default.
- W1684174938 date "2008-12-21" @default.
- W1684174938 modified "2023-09-27" @default.
- W1684174938 title "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation" @default.
- W1684174938 cites W1575104486 @default.
- W1684174938 cites W1575658391 @default.
- W1684174938 cites W1591810976 @default.
- W1684174938 cites W2001153827 @default.
- W1684174938 cites W2009499537 @default.
- W1684174938 cites W2036772751 @default.
- W1684174938 cites W2041550349 @default.
- W1684174938 cites W2077791698 @default.
- W1684174938 cites W2084931349 @default.
- W1684174938 cites W2155664708 @default.
- W1684174938 cites W2497607697 @default.
- W1684174938 cites W3124960685 @default.
- W1684174938 cites W3191723236 @default.
- W1684174938 cites W8706277 @default.
- W1684174938 hasPublicationYear "2008" @default.
- W1684174938 type Work @default.
- W1684174938 sameAs 1684174938 @default.
- W1684174938 citedByCount "5" @default.
- W1684174938 countsByYear W16841749382013 @default.
- W1684174938 countsByYear W16841749382014 @default.
- W1684174938 countsByYear W16841749382015 @default.
- W1684174938 countsByYear W16841749382016 @default.
- W1684174938 crossrefType "posted-content" @default.
- W1684174938 hasAuthorship W1684174938A5005254246 @default.
- W1684174938 hasConcept C105795698 @default.
- W1684174938 hasConcept C121332964 @default.
- W1684174938 hasConcept C121864883 @default.
- W1684174938 hasConcept C149782125 @default.
- W1684174938 hasConcept C151620405 @default.
- W1684174938 hasConcept C163716315 @default.
- W1684174938 hasConcept C164602753 @default.
- W1684174938 hasConcept C177860922 @default.
- W1684174938 hasConcept C197055811 @default.
- W1684174938 hasConcept C28826006 @default.
- W1684174938 hasConcept C3017618536 @default.
- W1684174938 hasConcept C33923547 @default.
- W1684174938 hasConcept C41008148 @default.
- W1684174938 hasConcept C51955184 @default.
- W1684174938 hasConcept C56739046 @default.
- W1684174938 hasConcept C62520636 @default.
- W1684174938 hasConcept C68710425 @default.
- W1684174938 hasConcept C69357855 @default.
- W1684174938 hasConcept C85393063 @default.
- W1684174938 hasConcept C91602232 @default.
- W1684174938 hasConcept C97355855 @default.
- W1684174938 hasConceptScore W1684174938C105795698 @default.
- W1684174938 hasConceptScore W1684174938C121332964 @default.
- W1684174938 hasConceptScore W1684174938C121864883 @default.
- W1684174938 hasConceptScore W1684174938C149782125 @default.
- W1684174938 hasConceptScore W1684174938C151620405 @default.
- W1684174938 hasConceptScore W1684174938C163716315 @default.
- W1684174938 hasConceptScore W1684174938C164602753 @default.
- W1684174938 hasConceptScore W1684174938C177860922 @default.
- W1684174938 hasConceptScore W1684174938C197055811 @default.
- W1684174938 hasConceptScore W1684174938C28826006 @default.
- W1684174938 hasConceptScore W1684174938C3017618536 @default.
- W1684174938 hasConceptScore W1684174938C33923547 @default.
- W1684174938 hasConceptScore W1684174938C41008148 @default.
- W1684174938 hasConceptScore W1684174938C51955184 @default.
- W1684174938 hasConceptScore W1684174938C56739046 @default.
- W1684174938 hasConceptScore W1684174938C62520636 @default.
- W1684174938 hasConceptScore W1684174938C68710425 @default.
- W1684174938 hasConceptScore W1684174938C69357855 @default.
- W1684174938 hasConceptScore W1684174938C85393063 @default.
- W1684174938 hasConceptScore W1684174938C91602232 @default.
- W1684174938 hasConceptScore W1684174938C97355855 @default.
- W1684174938 hasLocation W16841749381 @default.
- W1684174938 hasOpenAccess W1684174938 @default.
- W1684174938 hasPrimaryLocation W16841749381 @default.
- W1684174938 hasRelatedWork W1842646425 @default.
- W1684174938 hasRelatedWork W1968671122 @default.
- W1684174938 hasRelatedWork W1987940249 @default.
- W1684174938 hasRelatedWork W2028977966 @default.
- W1684174938 hasRelatedWork W2038492718 @default.
- W1684174938 hasRelatedWork W2047171476 @default.
- W1684174938 hasRelatedWork W2051594542 @default.
- W1684174938 hasRelatedWork W2055386657 @default.
- W1684174938 hasRelatedWork W2058499762 @default.
- W1684174938 hasRelatedWork W2069253593 @default.
- W1684174938 hasRelatedWork W2074013263 @default.
- W1684174938 hasRelatedWork W2077791698 @default.
- W1684174938 hasRelatedWork W2081251940 @default.
- W1684174938 hasRelatedWork W2116017029 @default.
- W1684174938 hasRelatedWork W2492721833 @default.
- W1684174938 hasRelatedWork W2596160642 @default.
- W1684174938 hasRelatedWork W2778231454 @default.
- W1684174938 hasRelatedWork W3013786329 @default.
- W1684174938 hasRelatedWork W3121338821 @default.
- W1684174938 hasRelatedWork W3190506321 @default.
- W1684174938 isParatext "false" @default.
- W1684174938 isRetracted "false" @default.
- W1684174938 magId "1684174938" @default.
- W1684174938 workType "article" @default.