A general class of stochastic volatility models with jumps is considered and an asymptotic expansion for European option prices around the Blackâ€“Scholes prices is validated in the light of Yoshidaâ€™sâ€¦ (More)

We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volatility skew areâ€¦ (More)

Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum withgeneral stochasticpartition is studied. Effectivediscretizationâ€¦ (More)

The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. Theâ€¦ (More)

We consider the dynamic hedging of a European option under a general local volatility model with small proportional transaction costs. Extending the approach of Leland, we introduce a class ofâ€¦ (More)

A central limit theorem for the realized volatility estimator of the integrated volatility based on a specific random sampling scheme is proved. The estimator is shown to be also robust to marketâ€¦ (More)

We revisit robust replication theory of volatility derivatives and introduce a broader class which may be considered as the second generation of volatility derivatives. One of them is a swap contractâ€¦ (More)

We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing timesâ€¦ (More)