no code implementations • 24 Nov 2023 • Beatrice Acciaio, Antonio Marini, Gudmund Pammer
The Bass local volatility model introduced by Backhoff-Veraguas--Beiglb\"ock--Huesmann--K\"allblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities, that approximates the Dupire local volatility model.
