Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

incomplete information about the unknown stochastic volatility. The option price is determined by a uniform-price auction. Thus … unknown stochastic volatility under an explicit market structure. This paper incorporates market microstructure considerations … into an extended Black-Scholes model with incomplete information on the underlying volatility. It relies on the growing …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …