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5 votes

Does Gatheral formula for local volatility translate to a constraint on implied volatility

This is actually explained in the article "Arbitrage-free SVI volatility surfaces" by Gatheral : It means that the surface is free of butterfly arbitrage.
servabat's user avatar
  • 171
2 votes

Dupire's calibration

There have been advances in that regard, but which papers are relevant really depends on what is it thay you may worry about. For example, to compute a local volatility surface, you need to ...
KT8's user avatar
  • 855
1 vote

Use `LocalVolTermStructureHandle` in Python QuantLib

As of QuantLib 1.30, you can sample your local volatility over a grid and pass the results to the FixedLocalVolSurface class.
Luigi Ballabio's user avatar

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