volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

is an open question if warrant issuers purely adopt options market information about future volatility or if they … contribute to volatility discovery by their own. As a result, the options market is in a clear informational leadership with an … information share highly significant above 0.5. Nevertheless, the aggregated warrants market also contributes to volatility …

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

models and therefore allows to consistently construct models including general jump structures, a stochastic volatility and … including jumps, a stochastic volatility and the leverage effect tend to be over-parameterized leading to unstable prices of …

We consider the pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility … the volatility, the inflation index, the domestic (nominal) and the foreign (real) rates. Having the flexibility to … correlate the underlying FX/Inflation/Stock index with both stochastic volatility and stochastic interest rates yields a …

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …