looking for papers

Rofik · March 19th, 2005, 7:38 pm

I'm looking for 2 papers. Don't know the exact titles, though.Dupire 1994 about local volatilityand Anderson and Andreason 2001 about local volatility overlay.Does anyone have it?Roman

davidh96 · March 20th, 2005, 12:49 am

http://papers.ssrn.com/sol3/papers.cfm? ... 38ANDERSEN & ANDREASEN can be found above.I do not have the dupire paper, but do know it was published in risk magazine and is called "Pricing with a smile"

Rofik · March 20th, 2005, 4:45 am

thanks!