We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non … typical in option pricing. In all numerical experiments a comparative standard second-order discretisation is significantly …

We derive a closed-form expansion of option prices in terms of Black-Scholes prices and higher-order Greeks. We show … how the true price of an option less its Black-Scholes price is given by a series of premiums on higher-order risks that … are not priced under the Black-Scholes model assumptions. The expansion can be used for a broad class of option pricing …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all … minimum-variance portfolios. We find that, by using option-implied volatilities in estimating the covariance matrix, the ex … implied counterpart. However, the benefits of using option-implied information are countered by an increase in portfolio …

for small changes of the underlying asset price. When these changes become large, the option prices estimated by the DGA … objective to increase the accuracy of estimating the option prices, we propose a modified version of the DGA that outperforms … option prices. Finally, we compare the performance of these two methods to that of some other existing methods …

numerical experiments on the option pricing. This dissertation includes detailed algorithms as well as programming code in C to …

In The Ascent of Money (2008), the Harvard financial historian Niall Ferguson refers to the Black-Scholes option …

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … largely unrelated to the volatility dynamics. We estimate our models using about fourteen years of S&P 500 index option data …-related dynamics of index option smiles …

Given bid-offer quotes for a set of listed vanilla options, a fundamental need of option market makers is to … - a modeling aspect of key importance in option markets …

This paper describes a method for computing risk-neutral density functions based on the option-implied volatility smile … robust and avoids violations of option no-arbitrage restrictions that can lead to negative probabilities and other impla …

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual …. -- calibration ; data design ; implied volatility surface ; Heston model ; cliquet option …