Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

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

then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time …

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in … implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the … market, is an affine function of the instantaneous volatility state variable (thus turning this quantity observable), we … perform a test of common jumps for multidimensional processes to assess whether an asset and its volatility jump together …