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Callable Local Volatility Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Options (Finance)--Valuation--Mathematical models, Derivative securities
- Item Type:
- Essay
- Tag(s):
- local volatility model, callable exotics
- Permanent URL:
- https://doi.org/10.17613/x5x0-7h55
- Abstract:
- We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation include option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.
- Notes:
- https://finpricing.com/lib/EqCallable.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 year ago
- License:
- Attribution
- Share this:
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localvolquanto.pdf