An Expanded Local Variance Gamma model and ultrafast calibration of volatility smile


We propose an expansion of the LVG model that allows for a non-zero drift in the underlying process. A forward ODE is derived that plays a role of Dupire’s equation for the standard local volatility model. Assuming the local... [ view full abstract ]


  1. Andrey Itkin (NYU)
  2. Peter Carr (NYU)

Topic Areas

Calibration , Jump-Diffusions , Options


TH-P-B2 » New Models for Option Pricing (14:30 - Thursday, 19th July, Beckett 2)

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