The Miri Benhamou Gobet model as explained in seminal publications is a combination of local volatility and jump model. Thanks to its local volatility feature, it can capture and calibrate very effectively smile volatility surface. But its jump component takes into account forward smile skew and short term dynamic that can be very different from the one generated by a pure local volatility model.
Eric Benhamou, CEO of Pricing Partners comments: âWe are proud to continue releasing cutting edge model. With the arrival of the Mir Benhamou Gobet model, Pricing Partners users will be able to improve the accuracy of their pricing by capturing short term jump behaviour while keeping the richness of the local volatility effective calibration. With this new model, the Pricing Partners library strengthens its position as the best commercial pricing libraryâ
The Miri Benhamou Gobet model will be available on equity, fx, commodity in Price-it Excel, Price-it API, Price-it Source and Price-it Online.