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Local Volatility (Dupire)

Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing.

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Dupire's Local Volatility Model

Rekod kaedah taksonomik · regression-model / quantitative-finance

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