shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

the corporate bond market in a model-free manner. By constructing an aggregate volatility measure and the associated … variance risk premium, we examine the role of volatility risk in the corporate bond market. We highlight that the ex ante …

incorporating seasonal stochastic volatility represented with of two different sinusoidal expressions. We obtain an analytical …

We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model …

This paper implements an algorithm that can be used to solve systems of Black-Scholes equations for implied volatility … for implied volatility and implied risk-free rate, the options are re-priced using these parameters in the Black … risk-free rate model is better for predicting future evolutions in model-free implied volatility as measured by the VIX …

Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the …

empirical data the implied volatility skews for LETF options based on the S&P 500. In order to enhance their comparison with non … between leveraged and unleveraged ETFs. Under a multiscale stochastic volatility framework, we apply asymptotic techniques to … derive an approximation for both the LETF option price and implied volatility. The approximation formula reflects the role 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 …

volatility derivatives use the quadratic variation approximation as the continuous limit of the discrete realized variance … stochastic volatility models with jumps, we manage to obtain the saddlepoint approximation formulas for pricing variance products … and volatility derivatives using the small time asymptotic approximation of the Laplace transform of the discrete realized …