Local Volatility

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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)

2017-8-28 23:54:35 上传

Local Volatility
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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.

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关键词：Volatility Local ATI LAT Vol

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Stochastic Volatility Modeling (CRC, 2016) by Lorenzo Bergomi

[金融经济学] 【随机波动性模型，金融数学】 Stochastic Volatility Modeling (2016) by L. Bergomi

thanks a lot。

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thanks a lot