Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …

In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model …. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The …

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …