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

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 Samp;P 500 index contract, show …

pricing. It studies arbitrage-based pricing in economies where: (i)trade takes place in transaction time, (ii) there is a … volatility in the process of the state variable when recorded in calendar time.The paper investigates the pricing of derivative …

propose a generic procedure using simultaneously the fundamentalprice and a set of option contracts. We use Heston's (1993 … model in terms of pricing and hedging performance. Our results, based on the Samp;P 500 index contract show dominance of … the fundamental security and an option contract, appears useful when the information from the cash market reflected in the …

The paper complements the reviews on the stochastic volatility models and option pricing. We discuss recent advances in …

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 …

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. …