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We present an extension of the BNS stochastic volatility model, incorporating two‐ sided jumps in the asset price process. The characteristic function of the log‐price process is computed, enabling us to calibrate efficiently to plain vanilla products by means of Fourier pricing methods. Finally, we present as an application of the two‐ sided BNS model the calibration to FX option prices, where a...
The only thing one can say about financial markets is that parsimonious information on option prices is available in time and space, and that we can only use the No‐Dominance law (or stronger version of No‐Arbitrage) to account for it. Thus, one requires a consistent model to assess relative value between them. We describe a single parametric model for the entire volatility surface with interpolation...
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