Date, Paresh; Islyaev, Suren - In: European Journal of Operational Research 243 (2015) 2, pp. 599-606
In this paper, we propose a new random volatility model, where the volatility has a deterministic term structure modified by a scalar random variable. Closed-form approximation is derived for European option price using higher order Greeks with respect to volatility. We show that the calibration...