of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility … (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the … distributions of volatility, given observed data. By constructing statistics summarizing information about these conditional …

the total volatility function in a continuous-time jump diffusion model …

Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts …

The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …

In this paper we propose the optimum weighting scheme for pricing American options under a local volatility model …. American options are priced under the constant elasticity of variance volatility model using Monte Carlo simulation. The …