Stochastic volatility option pricing has become popular in financial mathematics due to its theoretical and empirical consistencies. However, stochastic volatility models generally suffer from analytical and calibration intractability, except for regime switching stochastic volatility. However,...

Volatility has a significant role to play in the determination of risk and in the valuation of options and other financial derivatives. The well-known Black-Scholes model for the financial derivatives deals with constant volatility. This paper presents a new model based on shot noise behaviour,...

The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with constant volatility models up to stochastic volatility....