Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

Journal of Banking and Finance

Volumn 28, Issue 12, 2004, Pages 2957-2980

  Alexander, Carol ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

Local volatility; Normal variance mixtures; Smile consistent models; Stochastic volatility; Term structure of option prices; Volatility uncertainty

Indexed keywords

EID: 6444222993     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2003.10.017     Document Type: Article

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