Calibration and Verification of the Local Volatility Model
碩士 === 東吳大學 === 財務工程與精算數學系 === 103 === Foreign exchange option implied volatility of market information is quoted. Implied volatility have volatility smile. Dupire (1994) propose local volatility model explain volatility smile. Local volatility was the volatility of the underlying asset. It was a fu...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/5kgx37 |