path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order …

The Black-Scholes framework implies a constant volatility across term and strike, and a lognormal distribution for … and apply a model-independent, historically-consistent method for estimating the ‘fair' volatility surface of an asset … characteristics investors should be concerned with; (2) A review of historic SA index volatility skews and term structure, their …

prices that is continuous. Absent any directness of modeling of volatility, this study arrives at exactly such an option … prices or option prices, and call option prices both increase with the volatility of the underlying asset price and are … respect, option markets have economic viability `if and only if', the ex ante probability for emergence of `volatility smiles …

important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of … American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as … Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case …

We revisit the so-called Bergomi-Guyon expansion (Bergomi and Guyon, Stochastic volatility's orderly smiles, Risk, May … 2012). The expansion provides the smile of implied volatility at second order in the volatility of volatility for general … stochastic volatility models, including variance curve models. First, we present a new derivation of the price expansion which …

variables used in the merger literature. As predicted by the model, a graph of the target firm's implied volatility against the …