volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

We use stochastic volatility models to describe the evolution of the asset price, its instantaneous volatility, and its … realized volatility. In particular, we concentrate on the Stein-Stein model (SSM) (1991) for the stochastic asset volatility … and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign …

option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial …

patterns of implied volatility can actually be reproduced as a consequence of dynamical hedging. The simulations are performed … theoretical and quantitative point of view the strong pricing biases of the Black-Scholes formula, although stochastic volatility …

We introduce a refined tree method to compute option prices using the stochastic volatility model of Heston. In a first …

) stochastic volatility model. It has been known for a while (Buehler (2006)) that, even though the quadratic variance can serve as … discrete variance in a log-normal model and the quadratic variance in a stochastic volatility model, which allows to accurately …

swap (CDS) and equity default swap (EDS) spreads. We calibrate our models to General Motors options data and discuss the …

We consider calibration of log-normal stochastic volatility model and computation of option delta consistently with … statistical dynamics of the asset price and its implied volatility surface. We introduce the concept of volatility skew-beta which … any dynamics of implied volatility under the statistical measure and reproduce empirical option delta. The calibrated …

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based …