Questions tagged [local]

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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 ...
Pierre_G's user avatar
3 votes
1 answer

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 ...
Nico Blanco's user avatar
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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 ...
Jordi Lecoch's user avatar
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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 ...
Randor's user avatar
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