on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
This is based on a 1995 paper by Rubinstein/Jackwerth by the above title where the authors produces a distribution of stock prices inferred from option prices. But their approach only produces a joint ...
Weak schemes, such as Ninomiya-Victoir or Ninomiya-Ninomiya, are typically used for discretization of stochastic volatility models such as the Heston Model. Can anyone familiar with Cubature on ...
Are there any empirical observations or practices when to prefer Local Volatility Model for pricing over Stochastic Model or vice versa?