My question is about the CBOE published index VIX and SKEW. To start with, I consider working on the variance dynamics. I calibrate the market data (such as VIX and VIX futures) into the Heston ...
I have heard that the SABR volatility model was not good at pricing a constant maturity swap (CMS). How is that?
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 ...
I am writing a program that creates realizations of a GBM. Starting from an initial price, I get the following price with this formula: ...