transform. Models with stochastic volatility or pure jump models can be also priced within the Black-Scholes framework for the …

path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order …

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …