Singular exotic perturbation

A solution based on local volatility and sensitivities is proposed to calculate exotics' prices


Florian Monciaud and Adil Reghai combine singular perturbation techniques with a price-adjustment argument to analyse the impact of the smile dynamics, ie, the price difference between local stochastic volatility and local volatility on exotic products. They obtain an elegant formula that is exact for vanilla options and they propose a set of well-chosen scenarios to compute the impact efficiently

The main driver when selecting a model for pricing and risk management

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here