maturity varying yields, maturity varying volatility, and maturity varying interest rates. Most research papers focused on …

asset and its volatility, the price of an option in the model depends on macroeconomic conditions. Using an index of current … two-component volatility benchmark …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

-dependent volatility as the limit of a discrete-time GARCH model. In particular, the continuous-time model is the limit of a discrete …-time GARCH model of Heston and Nandi (1997) that allows asymmetry between returns and volatility. For the continuous-time model …

for arithmetic Asian options with discrete and continuous monitoring featuring stochastic volatility and discontinuous … properties. We here estimate the stochastic volatility model with price jumps as well as the nested model with omitted jumps to … NYMEX WTI futures vanilla options. We find that price jumps and stochastic volatility are necessary to fit options. Despite …

. Since the pioneering work of Dupire (1994), one knows how to infer the local volatility function from the implied volatility … for computing implied volatilities, based on a very general result which expresses the square of the implied volatility as …

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 …

contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic … volatility models, and their combinations. This method is useful in practice since the resulting approximation formula is not … approximation remains quite high even for the long maturity and/or the high volatility cases, which is a desired feature. As an …