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 …

Grail of volatility modeling: build a model that jointly and exactly calibrates to the prices of S&P 500 (SPX) options, VIX … satisfy the martingality constraint on the SPX as well as the requirement that the VIX is the implied volatility of the 30-day … low and high volatility regimes.Along the way, we provide new variants, as well as a new proof, of strong duality theorems …

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

construct the whole implied volatility surface and use the explicit constructions of calibrated (jump-) diffusions, available in …

In this paper, we introduce a new technique for calibrating local volatility extensions of arbitrary multi …-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is …

We extend and generalize some results on bounding security prices under several stochastic volatility models that …

models and therefore allows to consistently construct models including general jump structures, a stochastic volatility and … including jumps, a stochastic volatility and the leverage effect tend to be over-parameterized leading to unstable prices of …

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …