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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