This paper develops a method to analytically derive RNDs (risk-neutral distributions) from volatility smiles. The … strike price measure in the volatility smile does not have to be the strike price itself. It can be moneyness, the delta, or … other popular strike price measures. The method utilizes analytical derivatives of the volatility smile that come with …

We conduct an extensive empirical analysis of VIX derivative valuation models before, during and after the 2008-2009 fi … distortions during the crisis, we propose generalisations with a time varying central tendency, jumps and stochastic volatility …, analyse their pricing performance, and implications for term structures of VIX futures and volatility "skews". We find that a …

. The dynamics of the underlying BTC is well described by a stochastic volatility model but in pricing inverse options one … volatility with correlated jumps model is provided and comparison with simpler nested models both in in-sample and out …

16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

management of financial derivatives, such as volatility smile curves. However rare event modelling poses a problem in efficient … under Heston stochastic volatility, the associated option deltas, gammas and vegas, and CDS pricing that our method …

The purpose of this study is to model implied volatility surfaces and identify risk factors that account for most of … the randomness in the volatility surfaces. The approach is similar to that of the Dumas, Fleming and Whaley (DFW) (1998 … smooth implied volatility surfaces. Next, principal component analysis is applied to the implied volatility surfaces to …