stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light …-known volatility smile in the light of the literature addressing the determinants of the smile effect among which stochastic volatility …

stochastic volatility models. And, we propose both a new vision and a general framework for valuing European options in the light …-known volatility smile in the light of the literature addressing the determinants of the smile effect among which stochastic volatility …

We derive the density process of the minimal entropy martingale measure in the stochastic volatility model proposed by … processes determining the price and volatility are explicitly given under the minimal entropy martingale measure, and we derive …

We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models …. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry … and time-varying volatility persistence. Moreover, it produces models with a low-dimensional state space, which greatly …

zero, towards the complete model with stochastic volatility in continuous time described in Hobson and Rogers (1998). Then …

accurate approximations. We illustrate this method in a variety of contexts including option pricing with stochastic volatility …