Main category
Economics (General Management)
Abstract
Calculation of the Greeks in the local volatility model is difficult because recalibrating the local volatility surface tends to result in high numerical error terms. While this appears to be OK for first order Greeks, for higher order Greeks we are forced to make some approximations.
Further reading
https://ia904700.us.archive.org/33/items/local-vol-greek/LocalVolGreek.pdf
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