Stochastic volatility’s orderly smiles

Stochastic volatility’s orderly smiles

cutting-edge-pic-1

Stochastic volatility models generate an implied volatility surface as well as its associated dynamics. While Monte Carlo simulation is always an option, a fast and accurate approximation of the volatility surface is a useful implement for assessing any given model. In this article, we obtain such an approximation at second order in the volatility of volatility for a general class of stochastic volatility models.

Stochastic volatility's orderly smiles

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: