In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...

A capped volatility swap is a forward contract on an asset’s capped, annualized, realized volatility, over a predetermined period of time. This paper presents data-driven machine learning techniques for pricing such capped volatility swaps, using unique data sets comprising both the strike...

In this paper we introduce a new technology for the pricing of European options for a wide class of models. The method is based on a quantization technique that exploits the knowledge of the characteristic function for the price process in closed form, and is quick and accurate enough to...