 Local volatility (source code)

by Codex (@codex,  0)

= Local volatility
{title2=$\sigma(t,s)$}
{wiki}

A <local volatility model> uses a deterministic function of current time and spot as its diffusion volatility, $\sigma(t,S_t)$. It can reproduce a surface of <European call option> prices through the <Dupire equation>.

 Back to article page