A Short Note on Volatility Models
Didier Kouokap Youmbi
Bank of England - Prudential Regulation Authority
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.
Number of Pages in PDF File: 12
Keywords: Volatility, Black and Scholes, Local Volatility, Stochastic Volatility, Local Stochastic Volatility, Black and Scholes, Dupire, Lipton, Labordere
Date posted: June 1, 2013