Derivatives on the Chicago Board Options Exchange volatility index (VIX) have gained significant popularity over the …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

volatility model, by developing efficient transform based pricing methods. This non-affine model gives prices of options on … realized variance which allow upward sloping implied volatility of variance smiles. Heston's (1993) model, the benchmark affine … stochastic volatility model, leads to downward sloping volatility of variance smiles - in disagreement with variance markets in …

stochastic volatility models with jumps. In this paper we consider a dense subclass of such models and develop analytically … Fourier transforms of vanilla and forward starting option prices as well as a formula for the slope of the implied volatility … volatility swaps and other volatility derivatives are given as a one-dimensional integral of an explicit function. Analytically …

the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative …

categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …

We present a simple and numerically efficient approach to the calibration of the Heston stochastic volatility model …

We study the pricing of options on realized variance in a general class of Log-OU stochastic volatility models. The …

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