发帖
雷达卡
Local Volitility
This chapter covers the simplest and most widely used stochastic volatility model:
the local volatility model. Local volatility [37], [40] was introduced as an extension
of the Black-Scholes model that can be exactly calibrated to the whole volatility
surface bKT .
Local Volatility.pdf
(1.91 MB, 需要: 1 个论坛币)
While its proponents did not have stochastic volatility in mind, local volatility is
a particular breed of stochastic volatility. It is also the simplest market model.
京公网安备 11010802022788号
