in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …-term government bond yields and long-term market interest rates, primarily through their effects on the current short-term interest …

maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

for arithmetic Asian options with discrete and continuous monitoring featuring stochastic volatility and discontinuous … properties. We here estimate the stochastic volatility model with price jumps as well as the nested model with omitted jumps to … NYMEX WTI futures vanilla options. We find that price jumps and stochastic volatility are necessary to fit options. Despite …

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 …

contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic … volatility models, and their combinations. This method is useful in practice since the resulting approximation formula is not … approximation remains quite high even for the long maturity and/or the high volatility cases, which is a desired feature. As an …

In this paper, we propose a general framework for the valuation of options in stochas-tic local volatility (SLV) models … as special cases. Standard stochastic volatility models, such as Heston, Hull-White, Scott, Stein-Stein, α …-Hypergeometric, 3/2, 4/2, mean-reverting, and Jacobi stochastic volatility models, also fall within this general framework. We propose a …

volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying … volatility can be modified and adapted in the proposed framework. The framework is implemented empirically for four major … (MEM) of implied volatility and the GARCH(1,1). The results indicate that the proposed framework is capable of producing …

underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …