scholarly journals New Approximations in Local Volatility Models

2014 ◽  
pp. 305-330
Author(s):  
E. Gobet ◽  
A. Suleiman
Keyword(s):  
Local Volatility ◽  
Volatility Models

Collocating Local Volatility: A Competitive Alternative to Stochastic Local Volatility Models

2018 ◽  
Author(s):  
Anthonie van der Stoep ◽  
Lech Aleksander Grzelak ◽  
Cornelis W. Oosterlee
Keyword(s):  
Local Volatility ◽  
Volatility Models ◽  
Stochastic Local Volatility

Analytical pricing of single barrier options under local volatility models

2015 ◽  
Vol 16 (6) ◽  
pp. 867-886 ◽  
Author(s):  
Hideharu Funahashi ◽  
Masaaki Kijima
Keyword(s):  
Barrier Options ◽  
Local Volatility ◽  
Volatility Models

scholarly journals Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models

2007 ◽  
Vol 44 (04) ◽  
pp. 865-879 ◽  
Author(s):  
Alexander Schied ◽  
Mitja Stadje
Keyword(s):  
Payoff Function ◽  
Hedging Strategy ◽  
Local Volatility ◽  
Directional Convexity ◽  
Volatility Models ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Black Scholes ◽  
Delta Hedging ◽  
Path Dependent

We consider the performance of the delta hedging strategy obtained from a local volatility model when using as input the physical prices instead of the model price process. This hedging strategy is called robust if it yields a superhedge as soon as the local volatility model overestimates the market volatility. We show that robustness holds for a standard Black-Scholes model whenever we hedge a path-dependent derivative with a convex payoff function. In a genuine local volatility model the situation is shown to be less stable: robustness can break down for many relevant convex payoffs including average-strike Asian options, lookback puts, floating-strike forward starts, and their aggregated cliquets. Furthermore, we prove that a sufficient condition for the robustness in every local volatility model is the directional convexity of the payoff function.

Short maturity conditional Asian options in local volatility models

2020 ◽  
Vol 14 (2) ◽  
pp. 307-328 ◽  
Author(s):  
Nian Yao ◽  
Zhichao Ling ◽  
Jieyu Zhang ◽  
Mingqing Xiao
Keyword(s):  
Asian Options ◽  
Local Volatility ◽  
Volatility Models
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