We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … of implied volatility skews more consistent with the data and (ii) to capture comovements of short and long term skews …

an alternative parameterization in terms of the ATM volatility, volatility floor and tilt parameter that is better suited …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices …

path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order …

imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper … function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …

first introduce the GPU programming and the SABR stochastic volatility model. We then discuss pricing options with quasi …

volatility model, or they are based on simple regime-dependent parameterisations of local volatility. These deltas are popular … bitcoin option prices reveals that the bitcoin implied volatility curve behaves very differently from that of equity index …-of-the money calls during periods when the implied volatility curve slopes upwards. The advantage of using the perpetual contract …