Calibrating (Fitting) the Dupire Local Volatility Model

Discusses and explains the various methodologies for calibrating or fitting the Dupire Local Volatility model using the market prices of call options. It starts by explaining the calibration problem, links it to the famous Inverse problem, and then explains various methods for determining the local volatility surface such as spline/linear interpolation, smoothing /thin-plate splines, Tikhonov regularisation, and moving least squares. Also outlines the connection to the similar methods used in other fields.

Видео Calibrating (Fitting) the Dupire Local Volatility Model канала quantpie