Essays about: "Joakim Björnander"

Found 1 essay containing the words Joakim Björnander.

  1. 1. Option Pricing for Continuous-Time Log-Normal Mixtures

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Joakim Björnander; [2012-06-08]
    Keywords : Option pricing; hedging; local volatility; mixture dynamics; mixture of log-normals; Black-Scholes;

    Abstract : In this thesis we study the log-normal mixture option pricing model proposed by Brigo and Mercurio [1]. This model is of particular interest since it is an analytically tractable generalization of the Black-Scholes option pricing model, but essentially of the same degree of complexity when it comes to computing option prices and hedging. READ MORE