In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

, i.e. exhibits seasonality. We propose a stochastic volatility jump-diffusion model to capture this seasonal variation …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …

and incorporate a probability weighting function similar to that proposed by cumulative prospect theory. The biases result …