prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …