A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity … approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias … generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega …

In this paper the zero vanna implied volatility approximation for the price of freshly minted volatility swaps is … generalized to seasoned volatility swaps. We also derive how volatility swaps can be hedged using a strip of vanilla options with … Gaussian weights. For the family of stochastic volatility models our pricing and hedging results are model-independent and can …

digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading …

local volatility surface for S&P500 option data …