symbolic level are applied to predict the daily change in volatility of two major stock indices.... …

approach to model spot prices that combines mean-reversion,spikes and stochastic volatility. Thereby we use different mean …

existence and uniqueness of a solution. We give explicit examples of volatility coeffcients satisfying the required assumptions …

We develop a discrete-time stochastic volatility option pricing model, which exploits the informationcontained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservablelog-returns volatility. We model its dynamics by a … stochastic volatility pricing models. The pricing improvementcan be ascribed to: (i) The direct use of the RV, which provides a …

theimplied volatility smile.[...] …

The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …