underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

VIX options and target volatility options (TVOs) under affine GARCH models based on Gaussian and Inverse Gaussian …

In this paper, we propose a general framework for the valuation of options in stochas-tic local volatility (SLV) models … as special cases. Standard stochastic volatility models, such as Heston, Hull-White, Scott, Stein-Stein, α …-Hypergeometric, 3/2, 4/2, mean-reverting, and Jacobi stochastic volatility models, also fall within this general framework. We propose a …

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

We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second volatility component improves the option fit by 9% on average. Fat tails improve option fit by …

contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic … volatility models, and their combinations. This method is useful in practice since the resulting approximation formula is not … approximation remains quite high even for the long maturity and/or the high volatility cases, which is a desired feature. As an …

for arithmetic Asian options with discrete and continuous monitoring featuring stochastic volatility and discontinuous … properties. We here estimate the stochastic volatility model with price jumps as well as the nested model with omitted jumps to … NYMEX WTI futures vanilla options. We find that price jumps and stochastic volatility are necessary to fit options. Despite …

interest rate derivatives when the volatility of the short rate follows a GARCH process that can be correlated with the level …, yield curve options, etc. The advantage of our discrete-time model over continuous-time stochastic volatility models is that … volatility is an observable function of the history of the spot rate and is easily (and exactly) filtered from the discrete …

probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …