performance is achieved with Delta-Vega hedging in stochastic volatility models. Judging on the calibration and hedging results … between complete, but overly parsimonious models, and more complex, but incomplete models. Dynamic Delta, Delta-Gamma, Delta-Vega … market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market …

). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to remove the … indicate that in a statistical sense there remains a possibility that the implied volatility smiles are still not the same … utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …