• Tim Xiao deposited Callable Local Volatility Model in the group Group logo of Business ManagementBusiness Management on Humanities Commons 3 years, 5 months ago

    We present a model for calculating the price of European call and put options in the domestic currency on an underlying foreign equity with tenor up to 7 years. The calculation include option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega, Theta.