One of the early examples of stochastic volatility models is Clark [1973]. He suggested that asset price movements …) generally introduces stochastic volatility in the process of the state variable when recorded in calendar time. The paper …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

when the underlying asset price has constant volatility. The early exercise feature considerably complicates the valuation … data on the S&P100 contract. A comparison is made with parametric constant volatility model-based prices and exercise …