The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a … a simple integration against a Gaussian density; simulation of the volatility process is exact; and pricing SPX products …

The fair value of an option is given by breakeven volatility, the value of implied volatility that sets the profit and … loss of a delta-hedged option to zero. We calculate breakeven volatility for 400,000 options traded on the S&P 500 Index …, and we build a predictive model for these volatility values. A two-stage regression approach captures the majority of …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …