The local volatility model is widely used as this is the unique one-factor Markov model perfectly calibrated to a continuum of vanilla options in strike and expiry. It requires unfortunately an arbitrage-free interpolation of implied volatility in expiry and a time-consuming Euler discretization...

We present an efficient algorithm for computing the Vega KT in the local volatility model based on the calculation of the local Vega through Monte-Carlo simulation and algorithmic differentiation. In comparison with the PDE algorithm presented in [Guennoun], our algorithm is applicable for...

Pricing a contingent claim on a non-tradable asset (e.g. a management warrant package in an LBO) cannot be done with standard hedging based option pricing theory. Common alternatives are utility indifference pricing, suggested by various authors, or risk premium pricing (using the option pricing...