Unternehmens (employee stock options, ESO's) ist in den USA weit verbreitet. Seit kurzem steigt auch in Deutschland das Interesse …

(employee stock options, ESO's) ist in den USA weit verbreitet.1 Seitkurzem steigt auch in Deutschland das Interesse an dieser …

, active andliquid market. The standard stochastic volatility models | whichfocus on the modeling of instantaneous variance … to model directly the VIX index, in amean-reverting local volatility-of-volatility model, which will provide aglobal t to … the VIX market. We then show how to construct the localvolatility-of-volatility surface by adapting the ideas in Carr …

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 …

specicationof (a) the initial density, and (b) the volatility structure of the density. The volatilitystructure is assumed at any …

sufficient condition for market completenessis that the volatility of dividends be invertible and provide higher order …

stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure … of implied volatility skews moreconsistent with the data and (ii) to capture comovements of short and long term skews … largelyunrelated to the volatility dynamics. We estimate our models using about fourteen years ofS&P 500 index option data and nd that …

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 …