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

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 …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …. -- Heston model ; vanilla option ; stochastic volatility ; Monte Carlo simulation ; Feller condition ; option pricing with FFT …

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 …

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

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …