Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

This paper examines the application of various stochastic volatility models to real data and demonstrates their effectiveness in calibrating a wide range of options, including those with short-term ...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...

This paper presents a transform-based approach for pricing American options under stochastic volatility models. The multidimensional transform-based method allows for the construction of simple ...