under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates …

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston … (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston … model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional …

Implied volatility skew and smile are ubiquitous phenomena in the financial derivative market especially after the … Black Monday 1987 crash. Various stochastic volatility models have been proposed to capture volatility skew and smile in … derivative pricing and hedging. Almost 30 years after the advent of the first type of stochastic volatility model calibrating …

We present in a Monte Carlo simulation framework a novel approach for the evaluation of hybrid local volatility (Dupire … 1994, Derman and Kani 1998) models. In particular, we consider the stochastic local volatility model - see e.g. Lipton et … al. (2014), Piterbarg (2007), Tataru and Fisher (2010), Lipton (2002) - and the local volatility model incorporating …

Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …

In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model …. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The …