certain type of stochastic volatility model including SABR model by applying a rigorous asymptotic expansion method developed …

whether the use of models which allow for negative interest rate can improve option pricing and implied volatility forecasting … asset is described by two factors: a stochastic variance and a stochastic interest rate. The volatility is not allowed to be … two show that the use of models which allow for negative interest rates can efficiently reproduce implied volatility and …

volatility (RV). The RV measure is selected because it uniquely exhibits simultaneous stationarity and long-range dependency …

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 …

This thesis presents our study on using the hybrid stochastic-local volatility model for option pricing. Many … researchers have demonstrated that stochastic volatility models cannot capture the whole volatility surface accurately, although … the model parameters have been calibrated to replicate the market implied volatility data for near at-the-money strikes …

of stochastic volatility (Heston model) has been introduced in our publications “Complete Analytical Solution of the … model for Stochastic Volatility (SV). Our discovery of the probability density function of the European style Asian Options … constant volatility.All numerical evaluations based on our analytical results are practically instantaneous and absolutely …

to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a … volatility curves. Our main result shows a particular monotonicity behavior of the implied volatility of skewed models around the …