Abstract
This note lays out the necessary background and essential mathematics for understanding the Dupire Local Volatility model in derivatives pricing.
Additional Information
| Product Type | Technical Note |
|---|---|
| Reference No. | F&A0524TEC |
| Title | Probability in Finance - III: Mathematics of the Dupire Local Volatility Model |
| Pages | 16 |
| Published on | Jul 6, 2015 |
| Authors | Virmani; Vineet; |
| Area | Finance and Accounting (F&A) |
| Discipline | Finance |
| Keywords | Derivatives Pricing; Stochastic Colatility; Kolmogorov Equations; Dupire Local Volatility Model |
| Access | For All |
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