, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

interest rates, foreign short interest rates and stochastic volatility. Then, we apply Least Squares Monte Carlo (LSM) method … for pricing American options under our model with stochastic volatility and stochastic interest rate. Finally, by …

-Scholes-Merton volatility as a representation of option prices in the interest rate market obsolete. Recently more and more cap/floor and even … many market participants have resorted to either a normal or displaced lognormal volatility market data representation … severe impact on sensitivities and (delta) hedge ratios that may appear when changing the volatility market data …

In this paper we examine the Heston model in the limit of infinitely fast mean-reversion for the stochastic volatility … process (CIR). We show that, under an appropriate scaling of the model parameters, the two-factor stochastic volatility Heston … properties of the implied volatility surface. The model is expected to provide a reasonable fit to the market for all maturities …

used to implement a stochastic implied volatility model in the following two steps:1) Train a market simulator for option …

implemented and do not contain any numerical integration.These formulas are important in volatility surface construction and CMS …