Abir Sridi

Université Paris I Panthéon-Sorbonne

17, rue de la Sorbonne

Paris, IL 75005

France

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Scholarly Papers (1)

1.

The Arbitrage-Free Multivariate Mixture Dynamics Model: Consistent Single-Assets and Index Volatility Smiles

Number of pages: 47 Posted: 01 Mar 2013 Last Revised: 24 Sep 2014
Imperial College London - Department of Mathematics, Bloomberg L.P. and Université Paris I Panthéon-Sorbonne
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Citation 2

Abstract:

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Mixture of densities, Volatility smile, Lognormal density, Multivariate local volatility, Complete Market, Option on a weighted Arithmetic average of a basket, Spread option, Option on a weighted geometric average of a basket, Markovian projection, Copula function