Local volatility
AlocalvolatilitymodelthatiscalibratedusingtheDupireformulaandhemarket'simpliedvolatilitysurfacewillofcourseperfectlycapturetheobserved ...,由VMBelyaev著作·2023—Abstract:LocalVolatility(LV)isaverypowerfultoolformarketmodeling.Thistoolcanbeusedtoge...
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由MHADAVIS著作·被引用5次—Introduction.TheDupireformulaenablesustodeducethevolatilityfunctioninalocalvolatilitymodelfromquotedputandcalloptionsinthemarket1.
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