This paper presents a new numerical method for pricing American call options when the volatility of the price of the … volatility changes, we derive an integral representation of an American call price and the early exercise premium which holds … under stochastic volatility. This representation is used to develop a numerical method for pricing the American options …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

.g., stochastic volatility: there is one market price of risk for each jump size (and not just the market price of jump risk). Thus …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as volatility smile. They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays …