Local volatility
http://dbpedia.org/resource/Local_volatility
A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the current asset level and of time . As such, it is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of and ).
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Um modelo de volatilidade local, em matemática e engenharia financeira, é aquele que trata volatilidade como uma função do nível de ativo circulante e do tempo .
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Local volatility
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Volatilidade local
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11548901
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1109453939
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December 2019
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Is this correct? Where is 's' defined?
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A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats volatility as a function of both the current asset level and of time . As such, it is a generalisation of the Black–Scholes model, where the volatility is a constant (i.e. a trivial function of and ).
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Um modelo de volatilidade local, em matemática e engenharia financeira, é aquele que trata volatilidade como uma função do nível de ativo circulante e do tempo .
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10466