This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …

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

distribution, the stochastic volatility double jump-diffusions (SVJJ) model would potentially have a superior option market fit … the impacts on implied volatility surface of various jump amplitude distributions, through both extensive model … calibrations and carefully designed implied-volatility impacting experiments. Numerical results show that, with the Db-E jump …

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 …

resorting to the small-strike volatility smile asymptotics of De Marco et al. [SIAM J. Financ. Math., 2017, 8(1), 709-737]. For …

directionally biased due to the presence of stochastic volatility. The Heston model reduces the mismatch in realized variance …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …

We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently …

This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump … on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of … properties of stochastic volatility model are shown to have more impact on long-term options, the random jump is shown to have …

This paper analyses the implementation and calibration of the Heston Stochastic Volatility Model. We first explain how …