difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices … compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”). Our evidence suggests use of the …

single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α … five-parameter VG model is a stochastic volatility model with a Γ(α,θ) Ornstein-Uhlenbeck type process; the associated Lévy …

volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched asymptotic expansions … volatility near expiry. Through our analyses, we are able to show that the option price will be quite different from that … the constant volatility case if the spot volatility is given the same value as the constant volatility in the Black …