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 .
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Famous quotes containing the word local:
“While it may not heighten our sympathy, wit widens our horizons by its flashes, revealing remote hidden affiliations and drawing laughter from far afield; humor, in contrast, strikes up fellow feeling, and though it does not leap so much across time and space, enriches our insight into the universal in familiar things, lending it a local habitation and a name.”
—Marie Collins Swabey. Comic Laughter, ch. 5, Yale University Press (1961)
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