underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we … volatility according to Heston (1993). Within this setting, the portfolio returns are explained by the market and an additional … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …

This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many … researchers have demonstrated that stochastic volatility models cannot capture the whole volatility surface accurately, although … the model parameters have been calibrated to replicate the market implied volatility data for near at-the-money strikes …

considers a multi-asset model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations …

to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a … volatility curves. Our main result shows a particular monotonicity behavior of the implied volatility of skewed models around the …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

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 …

, these expansions are not quite suitable for volatility or variance densities as they inherently assign positive mass to the …

general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …