compare their pricing and hedging characteristics. Then we discuss the useful applications of currency protected “quanto …” direct and inverse options for fiat-based traders and describe their pricing and hedging characteristics, all in the Black …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

's stochastic volatility model, our method is shown to be extremely efficient and fairly accurate …

-of-the-money and long-maturity options. When applied to Heston's stochastic volatility model, our method is shown to be extremely …

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for … CDS portfolio analysis, when buying a portfolio with the highest increases in implied volatility and selling a portfolio … volatility are significant in most models. The magnitude of the coefficients remains generally stable regardless of the control …

implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …

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 …

general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …

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 …