This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull …