Local Volatility Calibration on the Foreign Currency Option Market
In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model...
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| Format: | Others |
| Language: | English |
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Linköpings universitet, Beräkningsmatematik
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-107662 |