x********o
发帖数: 519 | 1 for local volatility models and stochastic volatility models, when do you
use one instead of the other? |
x******a
发帖数: 6336 | 2 为什么？
其他问题呢？
【在 x********o 的大作中提到】
: for local volatility models and stochastic volatility models, when do you
: use one instead of the other?
|
s******e
发帖数: 1751 | 3 honestly, this is too advanced a question for juniors/college graduates. |
x********o
发帖数: 519 | 4 I got this question in an interview for a junior position, and did not know
the answer.
could you please say a few words about it? thanks
【在 s******e 的大作中提到】
: honestly, this is too advanced a question for juniors/college graduates.
|
l****o
发帖数: 2909 | 5 local volatility is becoming less used than before. |
s******e
发帖数: 1751 | 6 short answer is, stochastic vol is needed when you price something that has
significant vol-of-vol risk.
local vol is used when you price something that has significant exposure to
skew/downside risk. |
x********o
发帖数: 519 | 7 thanks, sametime.
this makes sense.
is there any reference on this?
has
to
【在 s******e 的大作中提到】
: short answer is, stochastic vol is needed when you price something that has
: significant vol-of-vol risk.
: local vol is used when you price something that has significant exposure to
: skew/downside risk.
|
s******e
发帖数: 1751 | 8 not that i am aware of.
i think you can only acquire that from a exotic vol trading desk.
btw, what i said is an extremely abridged version. |
