Fairmat repository1.6
Version1.0.3
Version date06.09.2013
Requirements Point Function 2D
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Dupire

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: 289