Contains the definition of the Dupire's local volatility model class. More...
#include <functional>#include <vector>
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Classes | |
| class | LocalVolatility |
| Implements the Dupire's local volatility model. More... | |
Detailed Description
Contains the definition of the Dupire's local volatility model class.
DESCRIPTION
The Dupire's local volatility model is a mathematical model used to model the price of various assets. The model assumes that the price of heavily traded assets follow a geometric Brownian motion with deterministic function of stock price and time as volatility. When applied to a stock option, the model incorporates the local price variation of the stock, the time value of money, the option's strike price and the time to the option's expiry.
- See also
- https://en.wikipedia.org/wiki/Local_volatility
- https://www.investopedia.com/terms/b/blackscholes.asp
- https://www.investopedia.com/terms/e/europeanoption.asp
- Date
- 2023-12-09
Definition in file LocalVolatility.hpp.
