stochastic volatility models yield possibilities in both directions. Finally we consider modelling strategies guaranteeing an …

The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the … dynamics of the stock and its volatility. Within this framework we develop all the key elements to perform the pricing of … vanilla European options as well as of volatility derivatives. We clarify the conditions under which the stock price is a …

The "SSVI" (aka "S3") implied volatility curve is the simplest curve that has three parameters to describe the at …) volatility it is compact, simply connected, and surprisingly large for realistic volatilities. For very large (normalized …) volatility the asymptotic wing constraints of Lee are not just necessary but also sufficient for the absence of arbitrage …

We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model … of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be … efficient pricing procedure. This called for using the Lie symmetries theory for PDEs; doing so allowed us to extend known …

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …

This article explores the relationship between option markets for the S&P500 (SPX) and CBOE's Volatility Index (VIX … computed from SPX put options with different maturities, which results in a term structure for squared volatility. This term … is also used to measure volatility-of-volatility (vol-of-vol) and the volatility leverage effect. There may emerge small …

investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …