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 …

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non … products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is … compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance …

resorting to the small-strike volatility smile asymptotics of De Marco et al. [SIAM J. Financ. Math., 2017, 8(1), 709-737]. For …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

its instantaneous variance. Under the affine jump-diffusion formulation with stochastic volatility, analytic integral … futures and both European and American options under the affine model and 3/2-model. We also examine the implied volatility …

, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

volatility models. We provide a succinct error analysis to demonstrate that we can achieve an exponential convergence rate in the …

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 …