methodology is based on partitioning the total implied volatility into downside and upside portions. We extract the downside and … upside volatilities for S&P 500 for the years 2007-2011. Not surprisingly, we find that in general the downside volatility is … 2010-2011, the downside volatility accounts for a larger portion of the total volatility when compared with the tumultuous …

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

Derivative pricing is especially challenging in novel and illiquid markets, where pricing relies greatly on assumptions … implied volatility for different strikes could be based on the information about other -- sometimes more liquid -- financial … instruments in the market. Here we show relevance, but not equivalence, of the information from the market of swaps, (volatility …

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 …

volatility derivatives under additive processes (time-inhomogeneous L evy processes). Our numerical algorithms are non … products and volatility derivatives. The exotic path dependency associated with the discretely sampled realized variance is … compute the hedge parameters of variance products and volatility derivatives. Numerical tests on pricing various variance …

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

resorting to the small-strike volatility smile asymptotics of De Marco et al. [SIAM J. Financ. Math., 2017, 8(1), 709-737]. For …

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