resorting to the small-strike volatility smile asymptotics of De Marco et al. [SIAM J. Financ. Math., 2017, 8(1), 709-737]. For …

stochastic volatility option pricing models. This paper presents additional theoretical details not contained in ACS. We present …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

this end, we calibrate the Heston model to a time series of DAX implied volatility surfaces and then price cliquet options …. -- calibration ; data design ; implied volatility surface ; Heston model ; cliquet option …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

incorporating seasonal stochastic volatility represented with of two different sinusoidal expressions. We obtain an analytical …