In this paper, we propose a general framework for the valuation of options in stochastic local
volatility (SLV) models with a general correlation structure, which includes the stochastic …

The Black–Scholes implied volatility skew at the money of SPX options is known to obey a
power law with respect to the time to maturity. We construct a model of the underlying asset …

Focusing on recent advances in option pricing under the SABR model, this book shows how
to price options under this model in an arbitrage-free, theoretically consistent manner. It …

The growth of the exchange‐traded fund (ETF) industry has given rise to the trading of
options written on ETFs and their leveraged counterparts (LETFs). We study the relationship …

This paper establishes the precise second order convergence rates of the continuous-time
Markov chain (CTMC) approximation method for pricing options under the general …

In this paper, we show that a time-dependent local stochastic volatility (SLV) model can be
reduced to a system of autonomous PDEs that can be solved using the Heat kernel, by …

We consider the class of Gaussian self-similar stochastic volatility models, and characterize
the small-time (near-maturity) asymptotic behavior of the corresponding asset price density …

We present a rigorous study of the short maturity asymptotics for Asian options with
continuous-time averaging, under the assumption that the underlying asset follows the …

Starting from the hyperbolic Brownian motion as a time-changed Brownian motion, we
explore a set of probabilistic models–related to the SABR model in mathematical finance …

We show how to calibrate a general Markovian stochastic volatility model with stochastic
correlation to the VIX implied volatility smile and the overall level, slope and curvature of the …