标题: Local Volatility Models [打印本页] 作者: Matori 时间: 2011-10-5 17:36 标题: Local Volatility Models
Would you consider Heston, SABR, Black, or LMM as examples? If not, what are some examples of these?作者: dreampak 时间: 2011-10-5 17:40
My understanding is that 'local volatility models' are not separate models in and of themselves (as jmh530 points out) and they were used to price exotics while incorporating the skew using a simpler method than was available at the time.
What I think you might be getting at is understanding the differences/similarities between local, implied, and stochastic volatilities. HTH.
