A Short Note on Volatility Models

12 Pages Posted: 1 Jun 2013  

Didier Kouokap Youmbi

Bank of England - Prudential Regulation Authority

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 Kouokap, 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 Kouokap Youmbi (Contact Author)

Bank of England - Prudential Regulation Authority ( email )

20 Moorgate
London, EC2R 6DA
United Kingdom

Paper statistics

Downloads
195
Rank
124,267
Abstract Views
631