In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return time series and to fit the volatility smile for exchange-traded options where the underlying is the main �Borsa Italiana� stock index. Given observed prices for the...

One presents and discusses an alternative solution writeable in closed form of the Heston’s PDE, for which the solution is known in literature, up to an inverse Fourier transform. Since the algorithm to compute the inverse Fourier Transform is not able to be applied easily for every...