Results 271 to 280 of about 19,599 (310)

CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION

International Journal of Theoretical and Applied Finance, 2017
We apply convex regularization techniques to the problem of calibrating Dupire’s local volatility surface model taking into account the practical requirement of discrete grids and noisy data. Such requirements are the consequence of bid and ask spreads, quantization of the quoted prices and lack of liquidity of option prices for strikes far away from ...
VINICIUS ALBANI, ADRIANO DE CEZARO, JORGE P. ZUBELLI   +2 more
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Callable Local Volatility Model

2022
We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation include option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.
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Local volatility calibration during turbulent periods

Review of Quantitative Finance and Accounting, 2012
We propose a methodology to calibrate the local volatility function under a continuous time setting. For this purpose, we used the Markov chain approximation method built on the well-established idea of local consistency. The chain was designed to approximate jump-diffusions coupled with a local volatility function.
Konstantinos Skindilias, Chia Chun Lo
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Stochastic Volatility Modeling: Chapter 2 - Local Volatility

SSRN Electronic Journal, 2016
This is Chapter 2 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall.In this chapter the local volatility model is surveyed as a market model for the underlying together with its associated vanilla options.First, relationships of implied to local volatilities are derived, as well as approximations for skew and curvature.
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A Hybrid Stochastic Volatility Model Incorporating Local Volatility

2012 Fourth International Conference on Computational and Information Sciences, 2012
In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the flexibility for pricing exotic options.
Yu Tian, Zili Zhu, Fima Klebaner, Kais Hamza   +3 more
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Local Volatility Models

2011
One way to construct models more complex than the Black–Scholes model is to allow the volatility to depend on the current time and on the value of the underlying: $${\mathit{dF}}_{t} = \sigma (t,{F}_{t}){F}_{t}{\mathit{dW }}_{t}$$ Models of this type are called local volatility models.
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Remarks on Local Volatility

SSRN Electronic Journal, 2008
In this short notice some comments on local volatility are provided. The Black–Scholes (BS) model of the options pricing has advised a ‘fair’ price that interpreted as the PV of the ‘neutralized’ pay off value at maturity. In BS equation (BSE) the real stock return μ is replaced by the risk-free rate of return r.
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Two Factor Stochastic Volatility with Embedded Local Volatility

SSRN Electronic Journal, 2009
This paper is intended to introduce an extension of the stochastic volatility model introduced by Pat Hagan. It adds to it two important features: a second factor and mean reversion. It is also a response to the smile dynamics problem taking into account very important features.
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Effective stochastic local volatility models

Quantitative Finance, 2022
M. Felpel, J. Kienitz, T.A. McWalter
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Quantum Local Volatility

SSRN Electronic Journal, 2012
Adil Reghai, Gilles Boya, Ghislain Vong
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