This paper presents a recombining trinomial tree for valuing real options with changing volatility. The trinomial tree … while having sensible transition probabilities between the nodes. The volatility changes are modeled with the changing … volatility, allowing also taking into account the level of the underlying asset price. The lattice can also be easily …

this markets. Numerical evaluations of varinace, volatility, covarinace and correlations swaps with semi-Markov volatility … are presented as well. The novelty of the paper lies in pricing of volatility swaps in closed form, and pricing of …

I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which … volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent …

Volatility long memory is a stylized fact that has been documented for a long time. Existing literature have two ways … to model volatility long memory: component volatility models and fractionally integrated volatility models. This paper … GARCH(1, 1) model by generating 37% less option pricing errors. With stronger volatility persistence, it also dominates a …

To capture mean and variance asymmetries and time-varying volatility in financial time series, we generalize the … threshold stochastic volatility (THSV) model and incorporate a heavy-tailed error distribution. Unlike existing stochastic … volatility models, this model simultaneously accounts for uncertainty in the unobserved threshold value and in the time …

In this article, we have tested the volatility of the returns of the 3 – month AstraZeneca call option contract for … volatility clusters for a long period of time that arises in the financial times series of returns or the fact that large and …

implied volatility of a 3 – month Nordea bank call option contract returns, for changing conditional variances to spot any …

This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact … that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid …-of-sample predictive ability of CIV is measured by the forecast accuracy of conditional volatility. It finds that the narrowest CIV measure …