I should open links before answering.My bad!

sharks

Loved his tie!

I think BBC did a quite good job with this interview

he convince you, or not?

Most people that own a Fliesentisch also own a cat like this one.

In Germany there is a law that you must be at least 75 years old to legally own a Fliesentisch.There are two exceptions I know:- You are member of a "Schützenverein"- You are member of a "Kegelverein"

<t>@ gold digga: dont get why you assume the stock price to be at 100$1.call costs less then its minimum value - this implies an arbitrage opportunity!+call (18$)- forward (120$)=102$invest 102$ for 1yu will have more then 100$ (the strike price of the call option) in 1y and no risk!2.- call (121)+f...

<t>No thats not the way you have to do it. Have you read the original paper by Dupire yet? It might give you an good intuition about how the model works...The calculation of LV's via option prices leads to other difficulties. The second derivative with respect to K in the denominator can be really s...

Do you want to use the Dupire Formula?If yes you need a IVF that has certain properties: must existand the resulting local variances should be positive - which means the IVF should be arbitragefree.Does your IVF have the desired properties?

<t>When using your IVF in a LV model you would normally require an arbitrage free IVF. Otherwise negative local variances will appear...You can use and calibrate models to rough market data and then deduce the shape of the IVF or you can parameterize the IVF with the desired properties and fit to ma...

and if you want an adjusted put/call delta the procedure is pretty straight forward. just make an assumption how the implied vols move when the spot moves and put the (adjusted) implied vols into your finite difference.

<r>u could have a look at this oneEngelmann, Bernd, Fengler, Matthias R. and Schwendner, Peter, Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options (October 8, 2006). Available at SSRN: <URL url="http://ssrn.com/abstract=935951">http://ssrn.com...