Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial …

While empirical studies have established that the log-normal stochastic volatility (SV) model is superior to its … depends on the higher order moments of the volatility process. We prove that the second-order leading term is theoretically … valuation of vanilla options. We generalize the affine decomposition to other non-affine stochastic volatility models with …

volatility model, by developing efficient transform based pricing methods. This non-affine model gives prices of options on … realized variance which allow upward sloping implied volatility of variance smiles. Heston's (1993) model, the benchmark affine … stochastic volatility model, leads to downward sloping volatility of variance smiles - in disagreement with variance markets in …

stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically … Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility … volatility swaps and other volatility derivatives are given as a one-dimensional integral of an explicit function. Analytically …

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

We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model …

-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely …