Local Volatility Models.

Authors Publication date
2016
Publication type
Book Chapter
Summary We present here the main characteristics of local volatility models in which the volatility of the risky assets is a function of time and of the spot value of the underlying. It is a standard in the industry. They are flexible enough to fit the vanilla option prices of all maturities, while preserving the completeness of the market. This permits a clear identification of the hedging strategy, see Chap. 4.
Publisher
Springer International Publishing
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