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 …

first introduce the GPU programming and the SABR stochastic volatility model. We then discuss pricing options with quasi …

an alternative parameterization in terms of the ATM volatility, volatility floor and tilt parameter that is better suited …

volatility from quoted options. The latter is of particular importance since it indicates the risk of the underlying and it is … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

well as for extracting the implied volatility from quoted options. The latter is of particular importance since it … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic … volatility jump diffusion model …

We are the first to study the pricing and hedging of VIX options via Monte Carlo (MC) under GARCH(1,1) and Glosten …

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 …