functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the … implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models … empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so …

negative probabilities may impact option pricing in a lattice approach. It is shown in this paper that lattice feasibility can …

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions … volatility near expiry. Through our analyses, we are able to show that the option price will be quite different from that … the constant volatility case if the spot volatility is given the same value as the constant volatility in the Black …

options prices under Heston's stochastic volatility (SV) model. We demonstrate that under a particular reparametrization, this … volatility 'smile', which indicates a likely distortion in the Black-Scholes modeling of such option data. Reflective of entirely … different market expectations, this distortion in the volatility 'smile' appears not to exist in the TLT option data. We provide …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We … present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

Markov-switching Heston's stochastic volatility model. Under this framework, the expected return and the long-term mean of … evidence that the Markov-switching Heston's stochastic volatility model performs well in capturing major events affecting price … volatility model. …