This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …

multiasset stochastic volatility model with constant instantaneous correlations shows the existence of a stochastic correlation …, as well as to the correlation between the assets returns and their volatilities. This article considers a multiasset … model based on Wishart processes that accounts for stochastic volatility and for stochastic correlations. Under the …