Muga M Zablon
School Of Biological Physical Mathematics And Actuarial Sciences, Jaramogi Oginga Odinga University Of Science And
Dupires Volatility Equation With Reinvested Dividend And Transaction Cost
Local volatility is a concept in quantitative finance that refers to the volatility of an asset that varies with both the asset price and time. Dupire Volatility Equation which is a stochastic equation is used to calculate the local volatility from the observed option prices. The problem at hand is that some of the assumptions of Black Scholes are now

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