effects, i.e., it is possible that the structure of the volatility surface changes without a change in the volatility level … state, I show that this superior performance is directly linked to a third volatility factor which is unrelated to the … volatility level. The second chapter studies the price of the smile, which is defined as the premia for individual option risk …

Volatility swaps and variance options are financial products written on discretely sampled realized variance. Actively … computations. This paper presents an analytical approach to efficiently and accurately price discretely sampled volatility … derivatives, under the Heston stochastic volatility model. We first obtain an accurate approximation for the characteristic …