While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on … thesystematc volatility of the consumption process, our estimation results suggestthat the short-term interest rate fails to be a …

We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain volatility model …

trade and hedge volatile swings in Bitcoin prices effectively. The violation of constant volatility and the log …-normality assumption of the Black-Scholes option pricing model led to the discovery of the volatility smile, smirk, or skew in options … markets. These stylized facts; that is, the volatility smile and implied volatilities implied by the option prices, are well …

Both barrier options and the Heston stochastic volatility model are omnipresent in real-life applications of financial …