A 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

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

Didier Youmbi (Contact Author)

HSBC (London) ( email )

Fourth Floor, 8 Canada Square
Canary Wharf, London, E14 5HQ
United Kingdom

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