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 …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

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

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 …