The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

This paper addresses several theoretical and practical issues in option pricing and implied volatility calibration in a … volatility term structure when the Hurst exponent is not 0.5, and also that one-year implied volatility is independent of Hurst … exponent and equivalent to fractional volatility. Building on these observations, we introduce a novel 8-parameter fractional …

In this paper we present a critical point on connections between stock volatility, implied volatility, and local … volatility. The essence of the Black Sholes pricing model is based on assumption that option piece is formed by no arbitrage … shows even more. The volatility of the underlying should be also changed. Such practice calls for implied volatility …

commodity prices and regime-switching in the commodity returns volatility. After a closed-form solution for the option value in …

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 …

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 …

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in … implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions …

implied index value and implied volatility whereas the restricted model only solves the implied volatility. Next, this study … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index …

The concept of the Local Volatility was developed in [1-3]. Later this concept was broadly generalized and extends in … particular to cover stochastic local volatility phenomena. A number of companies offer their products which call for more … paper we briefly outlined a critical point of view on mathematical basics of the construction of the Local Volatility in [4 …