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 …

-stochastic volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …, the commonly-used local volatility (LV) model is overly simplified for pricing and risk management. Given its ability to … match the implied volatility smile and reproduce its realistic dynamics, the LSV model is, in contrast, better suited for …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

volatility jump diffusion model …

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and … high volatility using a suitable hedging structure. One particular volatility hedge, involves taking a position in an …

The research paper is an effort to review the relevance of option implied volatility in the modern day financial … markets. Volatility indices such as VIX, VFTSE and India VIX act as efficient predictors of market volatility over the near … term. The role implied volatility plays in providing a measure of investors fears, explaining stock returns, credit default …

The fair value of an option is given by breakeven volatility, the value of implied volatility that sets the profit and … loss of a delta-hedged option to zero. We calculate breakeven volatility for 400,000 options traded on the S&P 500 Index …, and we build a predictive model for these volatility values. A two-stage regression approach captures the majority of …