compare their pricing and hedging characteristics. Then we discuss the useful applications of currency protected “quanto …” direct and inverse options for fiat-based traders and describe their pricing and hedging characteristics, all in the Black …

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 …

-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely …

's stochastic volatility model, our method is shown to be extremely efficient and fairly accurate …

In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The … that the proposed formula converges to the true implied volatility value. In numerical experiments, we verify the … stochastic volatility inspired (SVI) model, and the stochastic alpha beta rho (SABR) model. We also establish an explicit formula …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in … implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions …

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … of implied volatility skews more consistent with the data and (ii) to capture comovements of short and long term skews …