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 .
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Famous quotes containing the word local:
“America is the world’s living myth. There’s no sense of wrong when you kill an American or blame America for some local disaster. This is our function, to be character types, to embody recurring themes that people can use to comfort themselves, justify themselves and so on. We’re here to accommodate. Whatever people need, we provide. A myth is a useful thing.”
—Don Delillo (b. 1926)