We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

Sean Ross is a strategic adviser at 1031x.com, Investopedia contributor, and the founder and manager of Free Lances Ltd. Thomas J Catalano is a CFP and Registered Investment Adviser with the state of ...

The volatility smile is a visual representation of the implied volatilities of options contracts that expire on the same date. The appearance of a volatility smile indicates that options traders are ...

Eduardo Abi Jaber and Shaun (Xiaoyuan) Li introduce the two-factor quintic Ornstein–Uhlenbeck (OU) model, where volatility is modelled as a degree-five polynomial of the sum of two Ornstein–Uhlenbeck ...