versus LV 60.00 50.00 00 30.00 20.00 10.00 Strike -30% 50% 70% 90% 110

Chapter

ABSTRACT

FIGURE 5.3: Market implied volatility (SP500, 3-March-2008) versus Dupire local volatility (multiplied by ×100). T = 1 year. Note that the local skew is twice the implied volatility skew (see remark 5.2).

versus LV 60.00 50.00 00 30.00 20.00 10.00 Strike -30% 50% 70% 90% 110% 130% 150% 170% 190%

ABSTRACT