scholarly journals The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

2009 ◽  
Author(s):  
Peter Christoffersen ◽  
Steven L. Heston ◽  
Kris Jacobs
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Index Option

scholarly journals The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

2009 ◽  
Vol 55 (12) ◽  
pp. 1914-1932 ◽  
Author(s):  
Peter Christoffersen ◽  
Steven Heston ◽  
Kris Jacobs
Keyword(s):  
Stochastic Volatility ◽  
Term Structure ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Index Option

A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth

2019 ◽  
Vol 55 (4) ◽  
pp. 1117-1162
Author(s):  
Mathieu Fournier ◽  
Kris Jacobs
Keyword(s):  
Stochastic Volatility ◽  
Risk Premium ◽  
Reduced Form ◽  
Market Maker ◽  
Option Prices ◽  
Stochastic Volatility Models ◽  
Variance Risk Premium ◽  
Volatility Models ◽  
Variance Risk ◽  
Index Option

We develop a tractable dynamic model of an index option market maker with limited capital. We solve for the variance risk premium and option prices as a function of the asset dynamics and market maker option holdings and wealth. The market maker absorbs end users’ positive demand and requires a more negative variance risk premium when she incurs losses. We estimate the model using returns, options, and inventory and find that it performs well, especially during the financial crisis. The restrictions imposed by nested existing reduced-form stochastic-volatility models are strongly rejected in favor of the model with a market maker.

An adaptive Filon quadrature for stochastic volatility models

2018 ◽  
Vol 22 (3) ◽  
pp. 65-88 ◽  
Author(s):  
Fabien Le Floc'h
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

2014 ◽  
Vol 17 (2) ◽  
pp. 3-19 ◽  
Author(s):  
Matthew Lorig ◽  
Stefano Pagliarani ◽  
Andrea Pascucci
Keyword(s):  
Stochastic Volatility ◽  
Taylor Series ◽  
Implied Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

2013 ◽  
Author(s):  
Chi Yuen ◽  
Wendong Zheng ◽  
Yue Kuen Kwok
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Variance Swaps ◽  
Volatility Models

Computing Journal: Stochastic-volatility Models with Optional Jumps

2007 ◽  
Author(s):  
Anna Pretre ◽  
Gabriele Susinno
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

Asymmetric Stochastic Volatility Models: Properties and Estimation

2015 ◽  
Author(s):  
Xiuping Mao ◽  
Esther Ruiz ◽  
Helena Veiga ◽  
Veronika Czellar
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
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