We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic di erential equation, driven by Peng's G-Brownian motion. …

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection … against volatility and shows how they can be employed. The first section exposes these derivative instruments. It … volatility of crude oil futures prices illustrates the presentation. The last section underlines the interest of the information …

(1976), and then focuses on how to improve the DEK method. Given the time-varying volatility feature of the CEV model, I …

of European options on stock or volatility, the instantaneous changes of which depend upon an autoregressive moving … total volatility input depends upon the AR and MA parameters. From numerical analyses, the option values are increasing …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …