Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

A 15-Factor Heath, Jarrow, And Morton Stochastic Volatility Model For The United Kingdom Government Bond Yield Curve, Using Daily Data From January 2, 1979 Through November 30, 2021 Jan. 06, 2022 2:10 ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

Stochastic volatility models have been a major focus of quantitative research for more than two decades. Those days may be over. In August, Artur Sepp and Parviz Rakhmonov published a paper in ...