of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

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 …

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

is an open question if warrant issuers purely adopt options market information about future volatility or if they … contribute to volatility discovery by their own. As a result, the options market is in a clear informational leadership with an … information share highly significant above 0.5. Nevertheless, the aggregated warrants market also contributes to volatility …

certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed …

whether the use of models which allow for negative interest rate can improve option pricing and implied volatility forecasting … asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be … two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and …