stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility … propriétés de la région d'exercise optimal et du prix de l'option sont établies lorsque la volatilité suit un processus général …'opposeé d'une option d'achat américaine, le prix d'une option d'achat européenne sur volatilité s'avère être une fonction …

the (latent) integrated volatility of primary import from a pricing perspective based on simple reduced form time series …

Which loss function should be used when estimating and evaluating option valuation models? Many different functions …

to option pricing. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic … important premium, and when this is neglected option prices are estimated with errors. Finally, we show that when neglecting the … non-Gaussian features of the data, option prices are also estimated with large errors. Au cours des récentes années, les …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate … estimation of the model in terms of pricing and hedging performance. Our results, based on the S&P 500 index contract, show that …

to estimate the call prices and the exercise boundaries. The paper focuses on the daily market option prices and exercise … démarche adoptée dans cette étude consiste à dériver les prix d'option et les frontières d'exercice à partir de données … qui concerne le prix de l'option que la politique d'exercice qui lui est associée. …

tractable and explicit option pricing formula. The non-affine class of processes we study include specifications where the …

and calendar time. This framework has hitherto been relatively unexploited to study derivative security pricing. This … investigates the pricing of derivative securities with calendar-time maturity. The restrictions obtained in Merton (1973) using …