This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model …

class of stochastic volatility models with jumps. We utilize frame duality and density projection combined with a continuous … stochastic volatility models with a general jump size distribution including Heston, Scott's, Hull–White, Schöbel–Zhu, and the 3 …/2 models. We also consider some recently proposed stochastic volatility models in the literature such as the -Hypergeometric …

. Therefore we introduce a Markov chain to model the switches in the long term mean of the volatility. The rough behaviour is a … more local property and is motivated by the stylized fact that volatility is less regular than a standard Brownian motion …

A Markovian Projection is investigated for the Local Stochastic Volatility Libor Market Model. An approximation based …

By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European … call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire … local volatility function over the root conditional mean square of the stochastic volatility factor given the spot value …

We show that the implied volatility has a uniform (in log moneyness x) limit as the maturity tends to infinity, given … volatility models. This expression is function of the convex dual of the limiting cumulant generating function h of the scaled … results to obtain the limiting smile for several classes of stochastic volatility models with jumps used in applications (e …

This paper considers pricing of European-style vulnerable options under the Heston stochastic volatility and stochastic …