data. In order for the Black-Scholes implied volatility surface to exhibit the empirically observed skew or smile, a … stochastic volatility model can be used to compute the option greeks. Because the European price under many stochastic volatility … explores three parallelization approaches for calibrating stochastic volatility models deployed on a multicore CPU cluster. The …

We consider a time-discrete scheme for the Heston stochastic volatility model, which employs the stochastic trapezoidal …

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e …

We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model …

for arithmetic Asian options with discrete and continuous monitoring featuring stochastic volatility and discontinuous … properties. We here estimate the stochastic volatility model with price jumps as well as the nested model with omitted jumps to … NYMEX WTI futures vanilla options. We find that price jumps and stochastic volatility are necessary to fit options. Despite …

in stochastic volatility jump models”, 2017, to the so-called stochastic volatility with contemporaneous jumps (SVCJ …

market implied liquidity, linking the pricing under stochastic volatility with the Conic Finance theory of two prices. As a … motivating example, we construct for the first time the market implied liquidity surface under stochastic volatility …

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston … (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston … model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional …