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Local volatility

Option pricing model

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 S t {\displaystyle S_{t}} and t {\displaystyle t} ).

Nº Q6664586 ★

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Local volatility

Option pricing model

Texte en anglais

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 S t {\displaystyle S_{t}} and t {\displaystyle t} ).

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Texte en anglais Pas encore d'article dans ta langue : extrait en anglais.

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 S t {\displaystyle S_{t}} and t {\displaystyle t} ). Local volatility models are often compared with stochastic volatility models, where the instantaneous volatility is not just a function of the asset level S t {\displaystyle S_{t}} but depends also on a new "global" randomness coming from an additional random component.

Texte : Wikipédia en anglais, CC BY-SA 4.0. ·

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