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POST
Dupire Local Volatility Model

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
strike
number
required

Option strike price

T
number
required

Time to maturity in years

spot
number

Current spot price of the underlying asset

r
number
default:0

Risk-free rate (annualized)

q
number
default:0

Dividend yield (annualized)

sigma
number
default:0.2

Flat local volatility (annualized). In full Dupire, this would be σ(K,T)

option_type
enum<string>
default:call

Option type

Available options:
call,
put

Response

Successfully priced option with Dupire model

success
boolean
Example:

true

data
object
Example: