Local Volatility

A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level and of time .

Read more about Local Volatility:  Formulation, Development, Use

Famous quotes containing the word local:

    The improved American highway system ... isolated the American-in-transit. On his speedway ... he had no contact with the towns which he by-passed. If he stopped for food or gas, he was served no local fare or local fuel, but had one of Howard Johnson’s nationally branded ice cream flavors, and so many gallons of Exxon. This vast ocean of superhighways was nearly as free of culture as the sea traversed by the Mayflower Pilgrims.
    Daniel J. Boorstin (b. 1914)