Local volatility
AlocalvolatilitymodelthatiscalibratedusingtheDupireformulaandhemarket'simpliedvolatilitysurfacewillofcourseperfectlycapturetheobserved ...,由VMBelyaev著作·2023—Abstract:LocalVolatility(LV)isaverypowerfultoolformarketmodeling.Thistoolcanbeusedtoge...
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Alocalvolatilitymodel,inmathematicalfinanceandfinancialengineering,isanoptionpricingmodelthattreatsvolatilityasafunctionofboththe ...
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