-diversified equity portfolio. We do not use any dividend strips data in the estimation of the model; however, model-implied equity yields …

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 …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic … the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for …

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

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 …