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solal
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Joined: June 1st, 2010, 12:48 am

Local Vol and stoch vol model

August 23rd, 2011, 7:35 am

Hi,Could someone give a simple example for a product(and market condition) where a stoch vol model would clearly price higher than a loc vol model(and vice-versa)?Thanks
 
frolloos
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Joined: September 27th, 2007, 5:29 pm
Location: Netherlands

Local Vol and stoch vol model

August 23rd, 2011, 10:41 am

products with (forward) skew dependence should give large price differences.