Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial …

volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and …

Stochastic volatility models have grown in popularity in the past decade or two. However, for many stochastic … volatility models, the functional form of volatility along with the description of the diffusion process for volatility have been … improves and that a more general specification for the stock price and volatility processes may be necessary. This leads to an …

guaranteeing them a secured income stream. Due to the long investment horizons involved, stochastic volatility and stochastic …

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 …

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non …

Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series … and implied volatility smiles of SPX options. They are continuous-time stochastic volatility models, whose volatility … a semimartingale nor a Markov process, there is no unified method that not only applies to all rough volatility models …

We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The …

We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the … volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution … between a kernel and a Brownian motion. By performing joint calibration to daily SPX-VIX implied volatility surface data …