virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …

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 …

We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the … volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution … between a kernel and a Brownian motion. By performing joint calibration to daily SPX-VIX implied volatility surface data …

We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …