A Supplement to Remark on Local Volatility
Ilya I. Gikhman
June 5, 2011
The concept of the Local Volatility was developed in [1-3]. Later this concept was broadly generalized and extends in particular to cover stochastic local volatility phenomena. A number of companies offer their products which call for more accurate forecast of options pricing and one can check that it is a quite significant business in financial world. In this paper we briefly outlined a critical point of view on mathematical basics of the construction of the Local Volatility in . Here we present the Local Volatility concept in greater details.
Number of Pages in PDF File: 5
Keywords: local volatility, call option
JEL Classification: G12, G13, C60
Date posted: June 6, 2011 ; Last revised: July 6, 2011