we examine the properties and hedging behavior of volatility options. Unlike American options, European call options on …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 …

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

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 …

While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …