Testing the local volatility assumption: a statistical approach

摘要: In practice, the choice of using a local volatility model or stochastic is made according to their respective ability fit implied surfaces. this paper, we adopt different point view. Indeed, purely statistical methodology, design new procedures aiming at testing assumption for price dynamics, against alternative model. These test are based only on historical data and do not require any calibration via option prices. We also provide convincing simulation study an empirical analysis future contracts interest rates.