Equity derivatives - The beta stochastic volatility model - Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But traditional methods tend to underestimate the forward skew, and mis-price exotics such as cliquets as a result. The authors introduce a new model that uses the sensitivity of the at-the-money implied volatility to spot as a key ...

Beta Stochastic Volatility Model

Sepp, Artur, (2012)

The Black-Karasinski Model : Thirty Years On

Turfus, Colin, (2021)

Analytical pricing of double-barrier options under a double-exponential jump diffusion process : applications of laplace transform

Sepp, Artur, (2004)