Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
Risk 1 - Hans Buehler
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Modeling <strong>Risk</strong> – Local Volatility<br />
Dupire’s Local Volatility<br />
Implied Volatility SPX Dec 9 2005<br />
Local Volatility SPX<br />
80<br />
80<br />
70<br />
70<br />
60<br />
60<br />
50<br />
50<br />
40<br />
40<br />
30<br />
20<br />
10<br />
0<br />
09-Dec-18<br />
09-Jun-16<br />
09-Dec-13<br />
09-Jun-11<br />
09-Dec-08<br />
30<br />
20<br />
10<br />
0<br />
09-Jun-18<br />
09-Dec-15<br />
09-Jun-13<br />
09-Dec-10<br />
09-Jun-08<br />
09-Jun-06<br />
09-Dec-05<br />
Strike/Spot<br />
Strike/Spot<br />
29
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