scholarly journals A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

2003 ◽  
Author(s):  
Alexey N. Medvedev ◽  
O. Scaillet
Keyword(s):  
Stochastic Volatility ◽  
Calibration Procedure ◽  
Stochastic Volatility Models ◽  
Short Term ◽  
Volatility Models

Capturing implied correlation skew from options prices via multiscale stochastic volatility models

2020 ◽  
Vol 07 (04) ◽  
pp. 2050042
Author(s):  
T. Pellegrino
Keyword(s):  
Stochastic Volatility ◽  
Calibration Procedure ◽  
Second Order ◽  
Model Parameters ◽  
Option Prices ◽  
European Options ◽  
Stochastic Volatility Models ◽  
Volatility Models ◽  
Order Expansion ◽  
Implied Correlation

The aim of this paper is to derive a second-order asymptotic expansion for the price of European options written on two underlying assets, whose dynamics are described by multiscale stochastic volatility models. In particular, the second-order expansion of option prices can be translated into a corresponding expansion in implied correlation units. The resulting approximation for the implied correlation curve turns out to be quadratic in the log-moneyness, capturing the convexity of the implied correlation skew. Finally, we describe a calibration procedure where the model parameters can be estimated using option prices on individual underlying assets.

scholarly journals Short-Term At-the-Money Asymptotics under Stochastic Volatility Models

2019 ◽  
Vol 10 (2) ◽  
pp. 491-511 ◽  
Author(s):  
Omar El Euch ◽  
Masaaki Fukasawa ◽  
Jim Gatheral ◽  
Mathieu Rosenbaum
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Short Term ◽  
Volatility Models

scholarly journals Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

2018 ◽  
Author(s):  
Omar El Euch ◽  
Masaaki Fukasawa ◽  
Jim Gatheral ◽  
Mathieu Rosenbaum
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Short Term ◽  
Volatility Models
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