general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …

VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian …

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV …) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States … Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR-GARCH(1,1) model …

pricing is the volatility of the underlying asset. Exchanges often overestimate volatility in order to cover any sudden … changes in market behavior, leading to systematic overpricing of derivatives. Accurate forecasting of volatility would expose … systematic overpricing. Unfortunately, volatility is not an easy phenomenon to predict or forecast. One class of models that have …

This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility …