existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

We derive a closed-form asymptotic expansion formula for option implied volatility under a two-factor jump …-diffusion stochastic volatility model when time-to-maturity is small. Based on numerical experiments we describe the range of time … free of the unobserved spot volatility. Therefore, the model can be calibrated on option data pooled across different …

. The analysis is performed in the framework of a two-factor model with local and stochastic volatility. We describe an … algorithm for building the power series approximation of implied volatility. In the case of CEV volatility of volatility we …

pricing dierencesbetween index and stock options, the cross-sectional variation in stock option expensiveness,the volatility …

We develop a continuous-time real options pricing model to study managers’incentives to cheat in the presence of equity …-based compensation policies.We show that managers’ incentives to cheat are strongly influenced by theefficiency of the justice. Our model …’s main result is that managers havegreater incentives to misreport with stock options than with common stocks.We finally …

preservation or enhancementof short term stock value around the earnings announcement has become a priority for managers …