We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

We employ a refined tree method to value employee stock options (ESOs) in the stochastic volatility model of Heston … valuation, personal market beliefs and stochastic volatility. We formulate theoretical results on ESO valuation independently of …

implied volatility model. Compared to benchmark delta-normal method, the model produces more accurate results by taking into … account nonlinearity, passage of time, non-normality and changing of implied volatility. Two parameters in the model: the … correlation between underlying and the at-the-money implied volatility and the volatility of percentage change of the at …

volatility level. Single-factor stochastic volatility models are not flexible enough to account for the stochastic behavior of … the skew. On the other hand, multifactor stochastic volatility models are able to account for the existence of stochastic … that the consideration of additional volatility factors in the context of stochastic volatility models allows us to …

Volatility products have become popular in the past 15 years as a hedge against market uncertainty. In particular …, there is growing interest in options on the VIX volatility index. A number of recent empirical studies examine whether there … proposing and analyzing a stochastic volatility model with regime switching. The basic Heston model cannot capture VIX implied …

contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic … volatility models, and their combinations. This method is useful in practice since the resulting approximation formula is not … approximation remains quite high even for the long maturity and/or the high volatility cases, which is a desired feature. As an …

We introduce a refined tree method to compute option prices using the stochastic volatility model of Heston. In a first …

We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full … interest rate by a stochastic volatility displaced-diffusion Libor Market Model [AA02], which can model an interest rate smile …