In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

the prices of a variety of European and path-dependent options in a fast mean-reverting stochastic volatility setting. Our … volatility setting in which the Brownian motions driving the stock and volatility are correlated …

access to the stock and derivatives markets with recursive preferences. The stock process follows a stochastic volatility …

to identify a two-dimensional stochastic volatility process for the level of rates. The process is identified step by … Heston stochastic volatility models informs about what different specifications of the driving SDEs has to offer in terms of …-dependent volatility function and a mean reverting volatility process. The performance of the extended (SABR with mean-reversion) model is …

We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using … the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black … and get better estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility …

We present small-time implied volatility asymptotics for Realised Variance (RV) and VIX options for a number of (rough …) stochastic volatility models via large deviations principle. We provide numerical results along with efficient and robust … develop approximation schemes for the density of RV, which in turn allows to express the volatility swap in close-form. Lastly …

jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator …