The quantitative finance model that is used to estimate the unpredictability of the financial derivative's underlying current asset. This model is not useful for cliquet or certain other pricing options since the underlying asset price is the only random variable.
Related information about local volatility:
- Local volatility - Wikipedia, the free encyclopedia
A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level S_t and of time t .
- Lecture 1: Stochastic Volatility and Local Volatility
Lecture 1: Stochastic Volatility and. Local Volatility. Jim Gatheral, Merrill Lynch∗. Case Studies in Financial Modelling Course Notes,. Courant Institute of ...
- The Local Volatility Surface - Emanuel Derman
Quantitative Strategies. Research Notes. Goldman. Sachs. The Local Volatility Surface. Unlocking the Information in Index Option Prices. Emanuel Derman ...
- A Practical Guide to Implied and Local Volatility by Daniel Bloch ...
Jan 20, 2010 ... We consider a stochastic local volatility model with domestic and foreign stochastic interest rates such that the volatility decomposes into a ...
- Local Volatility Definition | Investopedia
A model used in quantitative finance to calculate the unpredictability of the underlying current asset of a financial derivative. Because of the treatment of the ...
- Local Volatility Dynamic Models
Local Volatility Dynamic Models. René Carmona∗. *Bendheim Center for Finance. Department of Operations Research & Financial Engineering. Princeton ...
- Derivation of Local Volatility - Fabrice Rouah
The derivation of local volatility is outlined in many papers and textbooks. (such as the one by Jim ... In this Note we provide two derivations of local volatility. 1.
- reconstructing the unknown local volatility function - David R ...
of the local volatility function from a finite set of observation data. ... approach is used: the local volatility function is represented by a spline whose values at ...