Questions tagged [local]
The local tag has no usage guidance.
4
questions
2
votes
1answer
101 views
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 ...
0
votes
0answers
45 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
81 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
votes
0answers
52 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 ...
