In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate estimation of the model in terms of pricing and hedging...

The purpose of this paper is to propose a new class of jump diffusions which feature both stochastic volatility and random intensity jumps. Previous studies have focussed primarily on pure jump processes with constant intensity and log-normal jumps or constant jump intensity combined with a one...

One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...

This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...

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 follows a general diffusion process. Explicit...

In this paper we provide lower and upper bounds on the prices of American call and put options written on a dividend paying asset. Based on the bounds, we provide two option price approximations. Our second approximation, which uses both lower and upper bound information, has an average accuracy...