In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …

obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the …

currency option prices by employing three different volatility models: a mean reverting model, a GARCH model, and an EGARCH … model. We document evidence that long dated average expected volatility is higher than that predicted by the term structure …

applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility …

under a market model of interest rates and a general diffusion stochastic volatility model with jumps of spot exchange rates …

volatility smile, ensuring an arbitrage-free interpolation of implied volatilities across exercise prices. However, the existing … market involving several currencies, can be used to ensure that the volatility smiles for options on the cross exchange rate …

volatility environment. The representation of delta-hedged option returns provided in this paper consists of two terms …: volatility risk premium and parameter estimation risk. In an empirical analysis, we examine delta-hedged option returns based on … volatility risk premium, especially in the post-Lehman shock period. Copyright Springer Japan 2015 …