shown to generate very precise option prices and a more accurate implied volatility surface than conventional methods. …

volatility derivatives use the quadratic variation approximation as the continuous limit of the discrete realized variance … stochastic volatility models with jumps, we manage to obtain the saddlepoint approximation formulas for pricing variance products … and volatility derivatives using the small time asymptotic approximation of the Laplace transform of the discrete realized …

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial …