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:

    “His farm was “grounds,” and not a farm at all;
    His house among the local sheds and shanties
    Rose like a factor’s at a trading station.”
    —Robert Frost (1874–1963)