volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump …

-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …