We introduce a multivariate diffusion model that is able to price derivative securities featuring multiple underlying assets. Each asset volatility smile is modeled according to a density-mixture dynamical model while the same property holds for the multivariate process of all assets, whose...

The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and copula function are available. It also allows for...

The purpose of this note is to explain the technique and the results obtained by C.F.Lo et al. in their papers on the pricing of barriers on underlyings whose evolution is given by the Black-Scholes model with time-dependent parameters, with formulae that cover (almost) fully the profusion of...

In this paper we work out a perturbation expansion for the prices of barrier options on an underlying that follows a Black-Scholes dynamics with time-dependent parameters. It is to be considered as an extension of earlier work that provides, in a sense, a zero order approximation. Through an...