This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile …

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

-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …