A Brief Overview of the Equity Local Volatility Model
Document ID: 2004-58 (previously 2004/008)
Published on: 1st December 2004
Author: Craig Turnbull
The local volatility model is a generalisation of other equity models which exist within the ESG. This note provides a high level overview of this model choice and explains the rationale for this new model. A detailed description of the model is available in a separate technical note 2004/009.
