When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

In this paper we propose a Libor model with a high-dimensional specially structured system of driving CIR volatility …

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …

vorherzusagen, oder aber nur um den Wert anderer Derivative, die sich auf den gleichen Basiswert beziehen, zu berechnen. Die in …

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …

We focus on closed-form option pricing in Heston's stochastic volatility model, in which closed-form formulas exist …