Turinici M. Gabriel

CEREMADE, Université Paris Dauphine

Prof.

Place du Marechal de Lattre de Tassigny

Paris Cedex 16, 75775

France

http://www.ceremade.dauphine.Fr/~turinici

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Scholarly Papers (1)

1.

Calibration of Local Volatility Using the Local and Implied Instantaneous Variance

Posted: 29 Jan 2009
Turinici M. Gabriel
CEREMADE, Université Paris Dauphine

Abstract:

calibration, local volatility, implied volatility, Dupire formula, adjoint, instantaneous local variance, instantaneous implied variance, implied variance