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.
发表于 2011-10-5 17:36
| 