References (12)



A Short Note on Volatility Models

Didier Kouokap Youmbi

Bank of England - Prudential Regulation Authority

May 20, 2013

This document is a short summary regarding the evolution of the volatility models from Black and Scholes to the Local-Stochastic Volatility models. We show advantages as drawbacks linked to each model, and how the community has moved from one model to another in order to overcome drawbacks.

Number of Pages in PDF File: 12

Keywords: Volatility, Black and Scholes, Local Volatility, Stochastic Volatility, Local Stochastic Volatility, Black and Scholes, Dupire, Lipton, Labordere

working papers series

Download This Paper

Date posted: June 1, 2013  

Suggested Citation

Youmbi, Didier Kouokap, A Short Note on Volatility Models (May 20, 2013). Available at SSRN: http://ssrn.com/abstract=2272823 or http://dx.doi.org/10.2139/ssrn.2272823

Contact Information

Didier Kouokap Youmbi (Contact Author)
Bank of England - Prudential Regulation Authority ( email )
20 Moorgate
London, EC2R 6DA
United Kingdom
Feedback to SSRN

Paper statistics
Abstract Views: 173
Downloads: 72
Download Rank: 186,036
References:  12
People who downloaded this paper also downloaded:
1. Pricing of CDS, BOND and CDO
By Didier Youmbi

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.906 seconds