We present a one-factor local volatility model in discrete time to price and calibrate year-on-year and zero …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

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 …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

, and the corresponding implied volatility surfaces have been analyzed in some detail. In the non-asymptotic regimes, option … trivially expressed in terms of their implied volatility. Recently, attempts at calculating the asymptotic limits of the implied … volatility have yielded several expressions for the short-time, long-time, and wing asymptotics. In order to study the volatility …

the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility dynamics for a wide class of stochastic volatility (SV) models. The SD approach also derives under similar conditions … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present …

We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form …