uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump … model-free analysis shows that the local variance-of-variance describes risk-neutral variance jump expectations well across … crises, whereas its long-run stochastic mean remains at lower levels. Second, the vol-of-vol risk-premium increases to 6 …

mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on … volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the … to the model's ability both to match equity volatility and to reconcile option prices with macroeconomic data on disaster …

which is the expected risk neutral value of realized volatility under the discrete version is the other. This study conducts …The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices …

stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean …-level processes into account. The available anticipative information is modeled by an initially enlarged filtration in our paper. We … further derive pricing formulas for electricity forwards under future information and investigate the associated information …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

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

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present … volatility dynamics for a wide class of stochastic volatility (SV) models. The SD approach also derives under similar conditions …