The local-volatility tag has no wiki summary.
15
votes
3answers
969 views
Local Volatility vs. Stochastic Volatility
Are there any empirical observations or practices when to prefer Local Volatility Model for pricing over Stochastic Model or vice versa?
8
votes
1answer
292 views
What are the main differences in Jump Volatility and Local Volatility
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 ...
6
votes
2answers
1k views
What causes the call and put volatility surface to differ?
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, ...
5
votes
2answers
558 views
Recommendation for a library to calculate the local volatility surface?
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 ...
