alternative models that have been proposed in this context, two have become especially popular in recent years: models of jump …-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that … jumps, the jump process exhibits an infinite number of small jumps in any finite time interval, which ought to be harder to …

-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 …

joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump …In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of … of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

impose tight upper and lower bounds on the implied volatility …