discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized …Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … equivalence. The question arises is of the glaring surfeit in the immersion of the price of risk within the invariant state market … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

frequent convert between cryptocurrency and fiat currency. However, research on fair pricing and hedging for the inverse BTC … option still needs to be completed. In this paper, we conduct dynamic hedging of the inverse BTC options under the Black …-Scholes model and the Heston stochastic volatility (SV) model. In addition, we provide novel formulae of Delta, Gamma, and Vega …

stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It … strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …

under stochastic volatility models. We describe the shock elasticity, the quantile sensitivity and the vaga value of cash … flows with respect to perturbation of the volatility function of the model. The main contribution is to establish explicit … Palmowski and Rolski (2002). We carry out explicit calculations for the Heston model and the 3/2 stochastic volatility model …