stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light …-known volatility smile in the light of the literature addressing the determinants of the smile effect among which stochastic volatility …

stochastic volatility model estimated via the efficient Monte Carlo likelihood technique. A comparison of the different models …

are employed: a bivariate t-GARCH(1,1) model, two Kalman filter based approaches, a bivariate stochastic volatility model …

volatility, and the specification of the volatility process itself. Our estimation of a variety of model specifications indicates …

We extend the credit risk valuation framework introduced by Gatfaoui (2003) to stochastic volatility models. We state a …-known volatility smile along with two documented determinants, namely stochastic volatility and market risk. Under some regularity … conditions, we specify diffusion functionals leading to an asymptotically (relative to time) mean reverting volatility process …

depend on a particular choice of utility function. A stochastic volatility model is numerically investigated as an example …

factors such as stochastic volatility. …

-based framework for the analysis of stochastic volatility models. A highly effective method is developed that samples all the …-nested likelihood ratios and Bayes factors is also investigated. These methods are used to compare the fit of stochastic volatility and …

stochastic volatility (STARTZ-SV) or as Student-t with GARCH volatility (STARTZ-TGARCH). Using the dynamics of Norwegian krone … zone model. Our estimates of conditional volatility and marginal distribution reject the target zone hypothesis. …