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

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … stochastic skewness component unrelated to volatility shocks. These properties are useful in order (i) to model a term structure … of implied volatility skews more consistent with the data and (ii) to capture comovements of short and long term skews …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

such as the Variance Gamma and the Normal Inverse Gaussian models as well as their stochastic volatility counterparts, e …

well as for extracting the implied volatility from quoted options. The latter is of particular importance since it … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

volatility from quoted options. The latter is of particular importance since it indicates the risk of the underlying and it is … approximating error of the suggested solution and, by comparing our results in computing the implied volatility with the most common …

volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

behavior of the implied volatility surface. These rules are the sticky delta rule and the sticky strike rule. I present a new … specification to test the sticky strike rule, which allows for dynamics in the implied volatility surface. In the empirical … application I use monthly implied volatility surfaces corresponding to the IBEX 35 index. The estimation results show that the …