volatility (Heston model), enabling complete analytical resolution of all problems associated with American Style Options … volatility (Heston model) is expressive enough to enable derivation for the first time ever of corollary closed-form analytical … constant or stochastic volatility, will be below or above any set of thresholds at termination. Such assessments are absolutely …

://ssrn.com/abstract=2546430). • In this paper we report similar unique results for pricing options in the presence of stochastic volatility … Model. • Our discovery of the probability density function for options with stochastic volatility enables exact closed … the density function for options with stochastic volatility within the Heston model is expressive enough to enable …

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of … the volatility in the three markets is also tested for structural breaks. The main finding of the paper is that the …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … market shows a mid-level liquidity. We also find while the exchange margin is set to meet the normal price volatility that …