introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate …

were introduced to capture complex phenomena such as volatility clustering or long memory. After recalling recent results …. We also provide some tools for volatility modelling and delta hedging, as well as comparisons with numerical Fourier …

extension to stochastic volatility, while using option data for Apple (AAPL) and Google (GOOG). We find that recalibrating a …

The aim of this article is to address the methodology behind de-arbitraging a realistic volatility surface and … tenor axis must satisfy in order to make a volatility surface arbitrage-free. The two most influential parameterized … versions of the volatility surface will then be discussed, along with their origin and their limitations. Furthermore, this …