are split into three components. The first component allows us to match the volatility term structure, the second … generates stochastic volatility, and the third one accommodates for stochastic skew. The model is parsimonious, yet flexible …

This study presents a set of closed-form exact solutions for pricing discretely sampled variance swaps and volatility … swaps, based on the Heston stochastic volatility model with regime switching. In comparison with all the previous studies in … the literature, this research, which obtains closed-form exact solutions for variance and volatility swaps with discrete …

approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull …

function to maturity that satisfies the consistency condition, the European volatility smile is obtained. As an illustration of … the formalism, we show that when the underlying asset price changes at constant volatility (standard deviation), the … offer a parameterization of the volatility smile with a closed-form expression using pre-calculated tables. Comprehensive …

In this article, we apply the forward variance modeling approach by L.Bergomi to the co-terminal swap market model. We …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

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 …

This paper tests the pricing accuracy and the hedging performance of the stochastic volatility with random jumps model … in markets extended to contain swap contracts whose payoffs depend on the realized higher moments of the state variable …