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. …

volatility. Many exotics are priced in a local volatility framework. Pricing under local volatility has become a field of … generating the relevant local volatility surfaces and further uses Monte Carlo and Finite Difference methods when pricing exotic … volatility surfaces such that pricing engines can be implemented successfully. We focus on arbitrage-free conditions and the …

useful in the pricing of derivative securities where the implied stock price volatility cannot be observed. … volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices …

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 …

In this paper, the Heston-Nandi futures option pricing model is applied to Bitcoin futures options. The model prices … are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin … futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …

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 …