that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

, regardless of the level of volatility, thus providing an explanation to the well known U-shaped pricing kernel puzzle …

existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

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 …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …