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:

    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)