<t>Good morning, I am not a quant. My question is if it is neccesary to calibrate a local vol surface after SPOT volatility (volatility of the spot) or it can be performed using Forward volatility (or black scholes vol). I am asking since I think that modeling spot volatility is much more difficult ...

How can I find out what "single" volatility to insert a pricing model (a basic model that only uses one volatility) that matches the complete term structure of volatility for a particular asset when I want to price an asian option?Thanks

Roulettabille, I agree on New vol = V*SQRT(2(1-r)) with r=correlation. How do you get r=0.707 and not r=0.5???Thank youMok

<t>Hello, I am looking for some article or info regarding the impact in the hedging P&L of a vanilla option depending on the path the underlying took during the life of the option. I mean, if you buy a vanilla call at 20% vol and after that the stock moves with 30% vol during the life of the opt...