Matic, Jovanka; Packham, Natalie; Härdle, Wolfgang - 2021
market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market … model (stochastic volatility with correlated jumps). The second approach simulates paths from a GARCH-filtered kernel … volatility, low jump intensity and evidence of infinite activity. With the exception of short-dated options, a consistently good …