Local volatility
AlocalvolatilitymodelthatiscalibratedusingtheDupireformulaandhemarket'simpliedvolatilitysurfacewillofcourseperfectlycapturetheobserved ...,由VMBelyaev著作·2023—Abstract:LocalVolatility(LV)isaverypowerfultoolformarketmodeling.Thistoolcanbeusedtoge...
Local Volatility and Dupire's Equation
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由AItkin著作·被引用10次—Localvolatilitymodelwasinventedaround1994in[Dupire(1994)]forthecontinuouscaseand[DermanandKani(1994a)]forthediscretecasein.
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