Volatility smile and local volatility
D'Amico, Fabiano (A.A. 2017/2018) Volatility smile and local volatility. Tesi di Laurea in Mathematical finance, LUISS Guido Carli, relatore Sara Biagini, pp. 33. [Bachelor's Degree Thesis]
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Abstract/Index
Theoretical framework. Volatility smiles, term-structure and surface. Local volatility. Derman and Kani local volatility model. Strengths and limits of local volatility.
References
Bibliografia: p. 33.
| Thesis Type: | Bachelor's Degree Thesis |
|---|---|
| Institution: | LUISS Guido Carli |
| Degree Program: | Bachelor's Degree Programs > Bachelor's Degree Program in Economics and Business, English language (L-33) |
| Chair: | Mathematical finance |
| Thesis Supervisor: | Biagini, Sara |
| Academic Year: | 2017/2018 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 15 Jan 2019 13:37 |
| Last Modified: | 15 Jan 2019 13:37 |
| URI: | https://tesi.luiss.it/id/eprint/21888 |
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