This paper examines the valuation of European- and American-style volatility options based on a general equilibrium … stochastic volatility framework. Properties of the optimal exercise region and of the option price are provided when volatility … the MRLP (mean-reverting in the log) volatility model which has received considerable empirical support. In this context …

sample path realization of the latent instantaneous volatility process. Le développement de procédures d'estimation et de …The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic … volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed …

. First, for any given model, the loss function used in parameter estimation and model evaluation should be the same …, otherwise suboptimal parameter estimates may be obtained. Second, when comparing models, the estimation loss function should be … utilisée pour l'estimation et l'évaluation des modèles de valorisation des options? Plusieurs fonctions ont été suggérées, mais …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … theoretical variables for levels of default swap premia is approximately 60%. The explanatory power for the differences in the … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default …

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … estimation of the model in terms of pricing and hedging performance. Our results, based on the S&P 500 index contract, show that … remarkably simple volatility extraction filter based on a polynomial lag structure of implied volatilities. The bivariate …

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 …

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and …-normal jumps or constant jump intensity combined with a one factor stochastic volatility model. We introduce several … intensity jump processes which feature correlation between the stochastic volatility and jump component. We also allow for and …