models and therefore allows to consistently construct models including general jump structures, a stochastic volatility and … including jumps, a stochastic volatility and the leverage effect tend to be over-parameterized leading to unstable prices of …

In this paper we derive an easily computed approximation of Rogers and Shi's lower bound for a local volatility jump …-diffusion model and then use it to approximate European basket option values. If the local volatility function is time independent …

option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial …

patterns of implied volatility can actually be reproduced as a consequence of dynamical hedging. The simulations are performed … theoretical and quantitative point of view the strong pricing biases of the Black-Scholes formula, although stochastic volatility …

We examine the empirical performance of several stochastic local volatility models that are the extensions of the … Heston stochastic volatility model. Our results indicate that the stochastic volatility model with quadratic local volatility … significantly outperforms the stochastic volatility model with CEV type local volatility. Moreover, we compare the performance of …

In this paper, we present a stochastic volatility model with stochastic interest rates in a Foreign Exchange (FX …) setting. The instantaneous volatility follows a mean-reverting Ornstein–Uhlenbeck process and is correlated with the exchange …

volatility model with the CIR (Econometrica, Vol. 53, pp. 385–408, 1985) stochastic interest rates. The instantaneous volatility …