Essays about: "votality interpolation extrapolation"
Found 1 essay containing the words votality interpolation extrapolation.
-
1. Local Volatility Calibration on the Foreign Currency Option Market
University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolanAbstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE
Result pages:
1