Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons

Name: Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons
Uploaded: 2019-11-17T00:00:00Z
Duration: 2511 s
Description: Introduces the Local Volatility Model, and derives the Dupire PDE using two alternative approaches. Also compares and contrast the Dupire PDE against the Valuation/pricing PDE (this is kinda Black Scholes PDE), and the Fokker Planck Equation

quantpie منتشر شده در تاریخ 1398/08/26

33.1 هزار بار بازدید - 5 سال پیش - Introduces the Local Volatility Model,

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