option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial …

In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such … volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a …

payoffs, both for constant and local volatility. To obtain regularity of the solutions, we develop an original method based on …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

This paper provides a simple way to obtain an option-implied asset volatility surface. The proposed estimation … technique allows to estimate the unobservable asset volatility surface in the same fashion of what is done when equity … volatility is extracted from options. Given a sample of 66 US firms, the asset volatility is first estimated at the firm level …

In this paper it is proved that the Black-Scholes implied volatility satisfies a second order non-linear partial … Black-Scholes implied volatility that improves on the existing numerical schemes from literature, both in speed and … parallelizability. We also show that the method is applicable to other problems, such as approximation of implied Bachelier volatility …

We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV … evaluated and a local volatility function. The latter, based on stochastic collocation – e.g. Babuska et al. (2007), Witteveen …

examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices …