stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

In this paper, we propose a general framework for the valuation of options in stochas-tic local volatility (SLV) models … as special cases. Standard stochastic volatility models, such as Heston, Hull-White, Scott, Stein-Stein, α …-Hypergeometric, 3/2, 4/2, mean-reverting, and Jacobi stochastic volatility models, also fall within this general framework. We propose a …

In this article we propose an efficient Monte Carlo scheme for simulating the stochastic volatility model of Heston … (1993) enhanced by a non-parametric local volatility component. This hybrid model combines the main advantages of the Heston … model and the local volatility model introduced by Dupire (1994) and Derman & Kani (1998). In particular, the additional …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …

under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vaga value of cash … flows with respect to perturbation of the volatility function of the model. The main contribution is to establish explicit … Palmowski and Rolski (2002). We carry out explicit calculations for the Heston model and the 3/2 stochastic volatility model …

determines an increase of the claim's price. In particular, we are interested in evaluating the CVA in stochastic volatility …

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

We discuss a competitive alternative to stochastic local volatility models, namely the Collocating Volatility (CV … evaluated and a local volatility function. The latter, based on stochastic collocation – e.g. Babuska et al. (2007), Witteveen …