In this paper, we propose an approach to modeling the jump component of a jump-diffusion model using a log mixture of normals distribution. We define explicitly theproperties of the distribution and use it to create an analytic formula for Europeanoption price. Numerous examples of applications...

We present in this paper a novel parametrization class of analytically tractable local volatility diffusion models used to price and hedge financial derivatives. A complete theoretical framework for computing the local volatility and the transition probability density is provided along with...