Option pricing model with non-constant volatility models are compared to stochastic volatility ones. The non …-constant volatility models considered are the Dupire's local volatility and Hobson and Rogers path-dependent volatility models. These … approaches have the theoretical advantage of preserving the completeness of the market. The stochastic volatility models …

volatility smile and skew effects. The method requires numerically integrating an infinite string of European swaptions across … all strikes induced by the stochastic volatility model calibrated to the market. Numerical experiments demonstrate …

variables are broadly compatible with stylized facts. This calibration procedure is organized in a hierarchical structure, so …

general equilibrium framework. The multiple calibration technique is applied to an ex post decomposition analysis of …

This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high … product of daily, diurnal and stochastic intraday volatility components. This model is applied to a comprehensive sample …