In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with … GARCH, but we focus on a narrower set of specifications in which volatility follows its own random process and is therefore … a latent factor. These stochastic volatility specifications fit naturally in the continuous-time finance paradigm, and …

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely … independent of the volatility level. To take into account these stylized facts, this article introduces a novel two …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends … the class of Realized Volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time … compensating for equity, volatility, and jump risks, the generating function under the risk-neutral measure inherits analytical …

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is …-day data into the Realized Laplace Transform of volatility, which is a model-free and jump-robust estimate of daily integrated … empirical Laplace transform of the unobservable volatility. The estimation then is done by matching moments of the integrated …