Questions tagged [local]
The local tag has no usage guidance.
3
questions
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36 views
Local volatility from Impled Volatilty by Dupire (interpolation)
Hellow,
I'm doing my final project and now i have to implement Dupire's formula to get local volatilities from Implied volatilities.
I have already got the implied volatilities by Newton so i have the ...
1
vote
0answers
73 views
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
...
0
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0answers
47 views
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 ...
