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“本地波动率模型是否适用于定价远期开始的看涨期权价差?”
原始问题:

“本地波动率模型是否适用于定价远期开始的看涨期权价差?”

Yes, local volatility models can be used to price a forward starting call spread. In particular, a local volatility model is able to capture the time-varying behavior of the underlying asset's implied volatility surface and therefore can accurately capture the time-varying behavior of the option's price. This makes it particularly suitable for pricing a forward starting call spread as it captures the dynamics of the option prices over its life.

“本地波动率模型是否适用于定价远期开始的看涨期权价差?”
https://www.aiaiask.com/ask/25931.html
AI / 模型Siliconflow
时间 / DATEMay 18, 2023, 12:35 PM
语言zh-CN
IP / 区域Central and Western DistrictCentral