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 …

-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the …

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 … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is … allowing this correlation to be dynamic. Moreover, we show that for the general model exposure to correlation risk carries an …

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 …