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A Short Note on Volatility Models

12 Pages Posted: 1 Jun 2013  

Didier Kouokap Youmbi

Bank of England

Date Written: 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.

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

Suggested Citation

Youmbi, Didier Kouokap, A Short Note on Volatility Models (May 20, 2013). Available at SSRN: or

Didier Kouokap Youmbi (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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