implied volatility and compare the spline collocation results with those obtained through arbitrage-free interpolation …

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally …

extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …

were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the …-Scholes economy and accounting for discrepancies between observation and predictions in the simple log-normal, constant-volatility … model. In this paper, we study the structure of an options market with a stochastic volatility that will eventually vanish …

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the …-Scholes economy and accounting for discrepancies between observation and predictions in the simple log-normal, constant-volatility … model. In this paper, we study the structure of an options market with a stochastic volatility that will eventually vanish …

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor´s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …

referendum date. Extracting implied distributions from the GBPUSD option volatility surface, we originally estimated, based on …