retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration … relationships. We show that the cointegration component allows capturing well-known features of commodity prices, i.e., upward … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

prices, which translates into skew and smile patterns for implied volatility curves even under constant volatilities … the market. collateral requirements, funding costs, volatility smile, option pricing …

controls the trade-off between smoothness and bid-offer compliance of the resulting volatility surface. Unlike previous …

stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not …

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the … asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is …