virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model. …

This paper presents a new numerical method for pricing American call options when the volatility of the price of the … volatility changes, we derive an integral representation of an American call price and the early exercise premium which holds … under stochastic volatility. This representation is used to develop a numerical method for pricing the American options …

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …

This paper investigates the pricing bias in the Swedish OMX-Index Option market and how a stochastic volatility affects …-root process for the volatility is estimated with non-linear least square minimization, and stochastic volatility option prices are … prices, and a well-defined bias structure between Stochastic Volatility prices and Black-Scholes prices is observed. With a …

span the volatility risk, an investor increases her investment in theunderlying stock. In addition, the investors indirect … utility increases significantly when allowed to span the volatility risk using variance swap contracts. …

stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as … the mean equity premium, equity volatility, and the mean risk-free rate in the data. We find that about 96 percent of the …