volatility jump diffusion model …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

volatility skew and derive an approximation for the P&L under the quadratic parametrization of the implied volatility. We apply …. Furthermore, we analyse the impact of the volatility skew on the delta-hedging of these option strategies. We present some …

We first discuss the positive volatility skew observed in the implied volatilities of VIX options. To model this … volatility. Then we develop a robust method for unified pricing and hedging of different volatility products on the implied and …

stochastic volatility; we provide general formulas and references …

We consider calibration of log-normal stochastic volatility model and computation of option delta consistently with … statistical dynamics of the asset price and its implied volatility surface. We introduce the concept of volatility skew-beta which … any dynamics of implied volatility under the statistical measure and reproduce empirical option delta. The calibrated …

. We finally discuss the implied volatility and implied order flow. It reveals the relationship between stock volatility …