In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … OVX volatility data. The model characterizes two states: a normal state with low volatility and negative variance premium … and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil … volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic … Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe … and WTI in America are compared. OVX index is able to provide the optimal forecast for the volatility of Brent's future …