Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models: by Andrey Itkin, World Scientific (2020). ISBN 978-981-121-276-5. Hardback

© 2020, World Scientific In the Black-Scholes model, the stock price S has the following dynamics under the risk-neutral measure: (1) d S t = ( r − q ) S t d t + σ S t d W t , where r , q , σ are t...