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 …

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 …

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 …

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 …