With the innovation of derivatives, the Standard and Poor's (S&P) 500 index -- as an underlying asset of the volatility …. Since the financial crisis of 2008, the degree of market volatility has increased substantially. In addition, a random …

While empirical studies have established that the log-normal stochastic volatility (SV) model is superior to its … depends on the higher order moments of the volatility process. We prove that the second-order leading term is theoretically … valuation of vanilla options. We generalize the affine decomposition to other non-affine stochastic volatility models with …

In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility … strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized volatility … the fund composition leading to the most conservative price under the local volatility (LV) model, for which an a priori …

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices … about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …

imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper … function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …

This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and …

This paper develops a dynamic joint model of the implied volatility (IV) surface and its underlying asset, impervious …