The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

volatility as having its own stochastic process, broadens the applications into derivative pricing purposes, risk assessment and …This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility … Carlo simulation methodologies for estimation, inference, and model adequacy assessment. Stochastic volatility is the main …

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 …