provide extensions of these results to more general equivalent martingale measures and to discrete time stochastic volatility …

with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are … presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Ambiguous volatility implies market … effects of ambiguous volatility are described. …

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 …

generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two … implicit parameters and forecast next day S&P 500 option prices, we obtain similar pricing errors than with implied volatility …

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing … literature favors some rather complex volatility specifications whose relative performance is usually assessed through their … likelihood based on a time-series of asset returns. This paper compares a range of volatility models along a different dimension …