This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …