Extend the previous derivation to the case where local volatility is allowed to take on a degree

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Extend the previous derivation to the case where local volatility is allowed to take on a degree of independence from the stock price, and demonstrate that

for option calibration to hold.

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

ISBN: 9781848167728,9781908979582

1st Edition

Authors: George Kaye

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Question Posted: Sep 19, 2024 11:02 PM

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Extend the previous derivation to the case where local volatility is allowed to take on a degree

Question:

E[02 (ST,T)|ST=K] = upire (K,T)

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The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market

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