Local volatility from American options
Stefano De Marco and Pierre Henry-Labordère focus on short-time asymptotics for American options in the case of local and stochastic volatility models. As a by-product, they obtain an efficient algorithm for calibrating Dupire’s local volatility to American options, starting from an arbitrage-free parameterisation of a European-implied volatility
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Stefano De Marco and Pierre Henry-Labordère focus on short-time asymptotics for American options in the case of local and stochastic volatility models. As a by-product, they obtain an efficient algorithm for calibrating Dupire’s local volatility to American options, starting from an arbitrage-free parameterisation of a European-implied volatility
Calibration of the
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