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 …

volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed … the (latent) integrated volatility of primary import from a pricing perspective based on simple reduced form time series … on the eigenfunction stochastic volatility class of models introduced by Meddahi (2001), we present analytical …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of 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 … remarkably simple volatility extraction filter based on a polynomial lag structure of implied volatilities. The bivariate …

Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even … 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 …