We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The … and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and …

proposed in this paper as a dynamic model for stochastic volatility matrices. It yields simple nonlinear forecasts at any … the past. For illustration, the WAR is applied to a sequence of intraday realized volatility covolatility matrices. …

volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We … show how they depend on the various sources of uncertainty which drive dividend rates and volatility, and derive … conditional on dividends and volatility. Since the latter is a latent process, we propose several approaches, notably using EGARCH …