Quoc, Tuan Tran; Lépinette-Denis, Emmanuel - Université Paris-Dauphine (Paris IX) - 2014
Local volatility models are popular because they can be simply calibrated to the market of European options. We extend the results of [4], [3] for such models, i.e. we propose a modi ed Leland method which allows us to approximately replicate a European contingent claim when the market is under...