of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the … joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump …

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

-dependent options and options on assets with stochastic volatility and jumps. " …

competing explanations: stochastic volatility models with negative correlations between market levels and volatilities, and … squares/Kalman filtration methodology. While volatility and level shocks are substantially negatively correlated, the … stochastic volatility model can explain the implicit negative skewness only under extreme parameters (e.g., high volatility of …

Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility … significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …