Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons

Описание к видео Local Volatility Model: Dupire PDE and Valuation/Pricing PDE Derivations and Comparisons

Introduces the Local Volatility Model, and derives the Dupire PDE using two alternative approaches. Also compares and contrast the Dupire PDE against the Valuation/pricing PDE (this is kinda Black Scholes PDE), and the Fokker Planck Equation

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