We study here the large-time behavior of all continuous affine stochastic volatility models (in the sense of Keller …-Ressel) and deduce a closed-form formula for the large-maturity implied volatility smile. Based on refinements of the Gartner … condition assumed in Gatheral & Jacquier (GJ10) under which the Heston implied volatility converges to the SVI parameterization …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

) as limit cases.As an intuitive illustration of the model's power, I choose the phenomenon of volatility surfaces: I show …

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover … the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and … stochastic volatility model has special structure, so our algorithm applies to calibration of general stochastic volatility …

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 …

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 …

We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility … [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02 …