We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying … Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the …

-Scholes-Merton approach offers a very powerful but incomplete theory of options pricing. …

We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for … generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate … developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …

This paper empirically examines the impact of oil price levels and volatility on key macroeconomic indicators of … Indonesia. In particular, two measures of volatility – historical volatility and realized volatility – are utilized and compared … for their different macroeconomic impacts. The relationships between oil price levels, the two volatility measurements …

bank lending theory of monetary transmission. Results show significantly decreased short-term debt and increased long … find that the volatility of foreign portfolio investment is significantly negatively associated with the probability of …

The first part of the dissertation concerns financial volatility models. Financial volatility has some stylized facts …, such as excess kurtosis, volatility clustering and leverage effects. A good volatility model should be able to capture all … these stylized facts. Among the volatility models, ARCH, GARCH, EGARCH and stochastic volatility models are the most …

Heston model withstochastic volatility.After characterizing the stock returns at mesoscopic time lags, westudy the … subordination hypothesis with one year of intraday data.We verify that the integrated volatility $V_t$ constructed fromthe number of …