Option pricing: Capturing the smile - Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. The authors present a variant of this approach that can be used to simultaneously calibrate European-style and barrier options, as well as cliquets.
| Year of publication: |
2003
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|---|---|
| Authors: | Johnson, Simon ; Lee, Han |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 3, p. 89-94
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