which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option … trivially expressed in terms of their implied volatility. Recently, attempts at calculating the asymptotic limits of the implied … volatility have yielded several expressions for the short-time, long-time, and wing asymptotics. In order to study the volatility …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

Variance premium is studied under a discrete-time consumption-based equilibrium model, with two stochastic volatility …. The implication of the model is that variance premium term structure contains information about two underlying volatility …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

Volatility and Stochastic Interest rates. In this paper, we examine the combine effect of a Heston-type model for the underlying … see that stochastic volatility and stochastic interest rates have an impact on the resulting fair value of the contract … and the resulting fair fee as well as mainly on the vega hedge. Interestingly, using a stochastic volatility model leads …