Stochastic volatility’s orderly smiles

Stochastic volatility’s orderly smiles


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

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