We introduce a  class of local stochastic volatility models. Within our framework, we obtain an expression for both (i) the price of any European option and (ii) the induced implied volatility smile. To illustrate our method , we perform specific  computations for a CEV-like model .
We introduce a new class of local volatility models. Within this framework, we obtain expressions for both (i) the price of any European option and (ii) the induced implied volatility smile. As an illustration of our framework , we perform specific pricing and implied volatility computations for a CEV-like example. Numerical examples are provided .
A
new
D
stochastic
R
our
this
R
an expression
expressions
R
To illustrate our method
As an illustration of our framework
A
pricing and implied volatility
R
model
example. Numerical examples are provided