Approximating option prices and implied volatilities under stochastic volatility jump diffusion models

This is a survey of the papers cited below, where a decomposition formula for Heston and Bates models is obtained. This type of decomposition is useful to obtain approximated closed formulas for option prices, approximations... [ view full abstract ]

This is a survey of the papers cited below, where a decomposition formula for Heston and Bates models is obtained. This type of decomposition is useful to obtain approximated closed formulas for option prices, approximations of the implied volatility surface and to develop new model calibration methodologies.   

E. Alòs, R. De Santiago, J. Vives (2015): Calibration of stochastic volatility models via second order approximation: the Heston case. International Journal of Theoretical and Applied Finance 18 (6).

R. Merino, J. Pospísil, T. Sobotka, J. Vives (2017): Decomposition formula for jump diffusion models. Submitted.