Local volatility
AlocalvolatilitymodelthatiscalibratedusingtheDupireformulaandhemarket'simpliedvolatilitysurfacewillofcourseperfectlycapturetheobserved ...,由VMBelyaev著作·2023—Abstract:LocalVolatility(LV)isaverypowerfultoolformarketmodeling.Thistoolcanbeusedtoge...
[2301.13595] Local Volatility in Interest Rate Models
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- volatility surface 中文
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由VMBelyaev著作·2023—Abstract:LocalVolatility(LV)isaverypowerfultoolformarketmodeling.Thistoolcanbeusedtogeneratearbitrage-freescenarios ...
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