volatility jump diffusion model …

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

volatility skew and derive an approximation for the P&L under the quadratic parametrization of the implied volatility. We apply …. Furthermore, we analyse the impact of the volatility skew on the delta-hedging of these option strategies. We present some …

We first discuss the positive volatility skew observed in the implied volatilities of VIX options. To model this … volatility. Then we develop a robust method for unified pricing and hedging of different volatility products on the implied and …

stochastic volatility; we provide general formulas and references …

In this paper we provide several applications of Gram-Charlier expansions in financial derivative pricing. We first … under Heston's model of stochastic volatility by the Gram-Charlier expansions …

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …