Connecting Smiles and Basket Dynamics
نویسنده
چکیده
• Overview of the smile problem • Local volatility models: mixture of densities' model • A practical choice: an uncertain volatility model • The link: a projection result • Properties, precautions, niceties; explanatory power • Mixtures of densities in the multivariate context: – brute force approach (Simply Correlated Mixture Dynamics) – subtler approach: MultiVariate Mixture Dynamics – consistency issues • A practical example + conclusions
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