along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This … integrated. -- Volatility Smile ; Volatility Smirk ; Implied Volatility ; Option Pricing ; Portfolio Insurance ; Market Risk …

of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

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 …

construct the whole implied volatility surface and use the explicit constructions of calibrated (jump-) diffusions, available in …

volatility jump diffusion model …

then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time …

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 …