Stochastic volatility models provide a framework in which the variability of asset returns is itself a random process, addressing empirical features such as volatility clustering, leverage effects and ...

This paper examines the application of various stochastic volatility models to real data and demonstrates their effectiveness in calibrating a wide range of options, including those with short-term ...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...

This paper presents a transform-based approach for pricing American options under stochastic volatility models. The multidimensional transform-based method allows for the construction of simple ...

Chacko, George, and Luis M. Viceira. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets." Review of Financial Studies 18, no. 4 (Winter 2005).

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Samantha (Sam) Silberstein, CFP®, CSLP®, EA, ...