seriously complicate option pricing. Comparing many different specifications of pure diffusion multi-factor models and jump …

In this paper we propose a generic procedure for estimating and pricing options in the context of stochastic volatility … models using simultaneously the fundamental price and a set of option contracts. We appraise univariate and multivariate … estimation of the model in terms of pricing and hedging performance. Our results, based on the S&P 500 index contract, show that …

to estimate the call prices and the exercise boundaries. The paper focuses on the daily market option prices and exercise … démarche adoptée dans cette étude consiste à dériver les prix d'option et les frontières d'exercice à partir de données … qui concerne le prix de l'option que la politique d'exercice qui lui est associée. …

tractable and explicit option pricing formula. The non-affine class of processes we study include specifications where the …

and calendar time. This framework has hitherto been relatively unexploited to study derivative security pricing. This … investigates the pricing of derivative securities with calendar-time maturity. The restrictions obtained in Merton (1973) using …

. Next we discuss nonparametric and semi-parametric methods of option pricing and illustrate the different approaches. Nous …

alone do not account for all aspects of call option pricing and exercise decisions, suggesting a need to include stochastic …In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic … volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We …