We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based …

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 …

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …

The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the … process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy …

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