A local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level and of time .
Famous quotes containing the word local:
“This is the only wet community in a wide area, and is the rendezvous of cow hands seeking to break the monotony of chuck wagon food and range life. Friday night is the big time for local cowboys, and consequently the calaboose is called the Friday night jail.”
—Administration in the State of Texa, U.S. public relief program (1935-1943)