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Local volatility

A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the current asset level S t {\displaystyle S_{t}} and of time t {\displaystyle t} . As such, it is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of…

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Overview

Formulation

Development

Parametric local volatility models

Use

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Local volatility

Nodes41
Edges40
Triples45
Avg. degree1.95
Density0.04878
Components1

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Local volatility

Top relations

related to Use · 12
Local volatility → Also, Alternative, As, Because, Crepey, Dupire, In, Local, McKean-Vlasov, Numerous, Since, Time-invariant
related to The lognormal mixture dynamics model · 11
Local volatility → Black Scholes, Brigo, Carol Alexander, Damiano Brigo, European, Fabio Mercurio, In, Mercurio, The, This, When
related to Development · 10
Local volatility → Bruno Dupire, Derman, Emanuel Derman, European, Iraj Kani, Kani, Neil Chriss, The, The Derman-Kani, They
related to Bachelier model · 7
Local volatility → As, Bachelier, Gaussian, In, Louis Bachelier's, The Bachelier, This
related to Parametric local volatility models · 3
Local volatility → As, Dupire's, It
related to CEV model · 2
Local volatility → CEV, The

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Important terminology

model volatility displaystyle local sigma mixture price function models option dynamics lognormal also asset time black scholes stochastic options smile

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Local volatilityrelated to Bachelier modelThe Bachelier0.60section
Local volatilityrelated to Bachelier modelLouis Bachelier's0.60section
Local volatilityrelated to Bachelier modelThis0.60section
Local volatilityrelated to Bachelier modelIn0.60section
Local volatilityrelated to Bachelier modelBachelier0.60section
Local volatilityrelated to Bachelier modelAs0.60section
Local volatilityrelated to Bachelier modelGaussian0.60section
Local volatilityrelated to CEV modelThe0.60section
Local volatilityrelated to CEV modelCEV0.60section
Local volatilityrelated to DevelopmentThe0.60section
Local volatilityrelated to DevelopmentBruno Dupire0.60section
Local volatilityrelated to DevelopmentEmanuel Derman0.60section

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