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 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 …

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

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use … premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period … averaging results in geometric swap price dynamics. Our framework allows for including typical features as the Samuelson effect …, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

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 …

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

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 …