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 present a one-factor local volatility model in discrete time to price and calibrate year-on-year and zero …

While empirical studies have established that the log-normal stochastic volatility (SV) model is superior to its … depends on the higher order moments of the volatility process. We prove that the second-order leading term is theoretically … valuation of vanilla options. We generalize the affine decomposition to other non-affine stochastic volatility models with …

important problem. As most financial markets exhibit randomly varying volatility, in this paper we introduce an approximation of … American option price under stochastic volatility models. We achieve this by using the maturity randomization method known as … Canadization. The volatility process is characterized by fast and slow scale fluctuating factors. In particular, we study the case …

Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …

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 …

then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time …

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 …