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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

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Date posted: June 1, 2013  

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

Contact Information

Didier Kouokap Youmbi (Contact Author)
Bank of England - Prudential Regulation Authority ( email )
20 Moorgate
London, EC2R 6DA
United Kingdom
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