Questions tagged [local]
The local tag has no usage guidance.
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Local volatility model for autocallable pricing
I am working on a pricer for an Autocallable product in Python. Coupons are accumulated at each observation and paid once the AC barrier is reached. At maturity, short down-and-in put.
I am trying to ...
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2
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1
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Dupire (Local Vol with Imp Vol)
I am trying to implement a local volatility pricer using Monte Carlo and Dupire's equation in function of implied volatilities and I was told that first of all I have to check Dupire is well ...
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Fast Monte Carlo of Local Volatility Model
I want to compute option prices via a Monte Carlo simulation. The model implemented is a Markov process, following the SDE :
d X_t = alpha * dt + beta^(1/2) * d W_t
...
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what is the formula for local vol , as a function of implied vol, AND why am i getting a negative denominator?
i am seeing different formulas at different places on stack exchange, so not sure!
eg if denominator has a term y^2/w^2, or y/w^2 or
1/w or -1/w
and also, whatever formula i use, i get a negative ...
- 701