For pricing, what types of Exotic Options are suitable using Local Volatility Model / Stochastic Volatility Model?
I understand that Stochastic Vol Models should be used when Exotic Option payoff is Volatility dependent (such as Variance Swaps and Volatility Swaps). Stochastic Vol Models should also be used when ...
I'd like a library to calculate the options local volatility surface, i.e. the options implied volatility surface for a collection of strikes and their bid/ask prices. Here are the libraries I've ...
Are there any empirical observations or practices when to prefer Local Volatility Model for pricing over Stochastic Model or vice versa?
I currently have a local volatility model that uses the standard Black Scholes assumptions. When calculating the volatility surface, what causes the difference between the call volatility surface, ...
Is a JV model simply Local Vol + Jump Diffusion? If so, it seems logical that an existing JV model be able to be used for valuation of both Vanilla and Exotic options. Is this true? Does a Local ...