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Local Volatility

Given the prices of call or put options across all strikes and maturities, we may deduce the volatility which produces those prices via the full Black-Scholes equation. Unlike the naive volatility produced by applying the Black-Scholes formulae to market prices, the local volatility is the volatility implied by the market prices and the one factor Black-Scholes.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.