Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …

-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 proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …