Seeking recommendations for local/stoch vol libraries

Discussion in 'Options' started by LM3886, Feb 5, 2022.

  1. LM3886

    LM3886

    Interesting. Did they end up not using the trinomial model and using BS instead?
     
    #11     Feb 8, 2022
  2. LM3886

    LM3886

    Yes, it should match market price if evaluated at the current time because it was fit to that. I was hoping to get the underlying-vol correlation by the local/stoch vol model. I think slope of skew from BS is an approximation to that, but I often observe correlations larger than that from market history.
     
    #12     Feb 8, 2022