The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

volatility process spends longer time in regime 2 than it stays in regime 1. The predicted call option prices from both models …

and Heston's stochastic volatility model. Leveraging a total of five years of individual equity and index option data, and … accurate and less risky single instrument hedges than Heston's stochastic volatility model. A statistical resampling method …

This paper implements an algorithm that can be used to solve systems of Black-Scholes equations for implied volatility … for implied volatility and implied risk-free rate, the options are re-priced using these parameters in the Black … risk-free rate model is better for predicting future evolutions in model-free implied volatility as measured by the VIX …