Markovian projection for volatility calibration

European-style options are usually the most liquid options available in any market. More often than not, they are the only options that are liquid enough to be used for model calibration. Thus, efficient methods for valuing European-style options are a critical requirement for any model. In this article, we develop the Markovian projection method, a very general and powerful approach for deriving accurate approximations of European-style option prices in a wide range of models.

Various ideas

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What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

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