In this paper, European put option pricing with stochastic volatility forecasted by well known GARCH model is discussed …

An appealing feature of Heston's stochastic volatility model is that it captures empirical characteristics such as fat … return tails, leverage and volatility clustering. Another is the resulting analytic European option pricing formula, which … also highlights the role played by the equilibrium volatility associated with Heston's model for early exercise. Our …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

diffusions as well as stochastic volatility models with jumps. The method combines Continuous-Time Markov Chain (CTMC …

diffusions as well as stochastic volatility models with jumps. The method combines Continuous-Time Markov Chain (CTMC …

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …

remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The …