We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …

We propose a Monte-Carlo calibration method for multi-currency Hybrid Local Volatility models a la Dupire. The …

Local volatility models are widely used to manage many exotic options in a way consistent with available market prices … of vanilla options. Once calibrated, a local volatility grid can be used in numerical methods such as PDE or Monte Carlo … will be used to hedge those exotic options. Recent approaches in local volatility calibration from sparse market data have …

implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into … account nonlinearity, passage of time, non-normality and changing of implied volatility. Two parameters in the model: the … correlation between underlying and the at-the-money implied volatility and the volatility of percentage change of the at …

under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates …

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston … (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston … model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional …

Implied volatility skew and smile are ubiquitous phenomena in the financial derivative market especially after the … Black Monday 1987 crash. Various stochastic volatility models have been proposed to capture volatility skew and smile in … derivative pricing and hedging. Almost 30 years after the advent of the first type of stochastic volatility model calibrating …