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 …

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate … how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for … arbitrage-free implied volatility surfaces. Our approach conciliates static arbitrage constraints with a realistic …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of … years. We also show that there has been a structural change in the stock index volatility vs returns relationship …

covariance estimates are crude, inverse volatility weighted portfolios are more robust, followed by the machine learning based … diversification portfolio, while it is not as robust as the inverse volatility weighed portfolio. We also study the impact of …