Fairmat repository1.9
Version date06.09.2013
Requirements Point Function 2D
Documentation View
Source Source


License: Free
Author: Fairmat srl

The Dupire local volatility model simulates equity or index price with a volatility that is a deterministic function but depends on time and price value. Once installed the plug-in offers the possibility of using Dupire model for simulation and to calibrate it with a series of call prices.

Tags: stochastic process, calibration, equity, local volatility, Dupire.
Downloads: 619