Download This PaperA Short Note on Volatility Models
12 Pages Posted: 1 Jun 2013
Date Written: May 20, 2013
Abstract
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: Suggested Citation
Youmbi, Didier, A Short Note on Volatility Models (May 20, 2013). Available at SSRN: https://ssrn.com/abstract=2272823 or http://dx.doi.org/10.2139/ssrn.2272823
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