-Scholes formula for pricing European call options. We model the log-price as a deterministic linear trend plus a diffusion process … with drift zero and with a diffusion coefficient (volatility) which depends in a particular way on the instantaneous stock … price. It is shown that the model possesses a number of properties encountered in empirical studies of stock prices. In …

We present a methodology based on Fourier series analysis to compute time series volatility when the data are …

undesirable feature of predicting that the asymptotic value of the short rate volatility is zero. This theoretical result is … reverting Gaussian option values. In other words, the volatility in the rational lognormal model declines so quickly that …

employment volatility levels across Canadian regions during the period 1976-1997. Using cross-sectional analysis, we indicate … associated with decreased volatility in larger regions, but these variables have the opposite effect for smaller regions. The … decreased. The former tends to dampen volatility and the latter tends to magnify it. When these offsetting effects are taken …

exist. Concerning the controversial issues we find that (i) volatility effects depend on the existence of tax havens and on …

capital flows driven by “herding,” “flocking,” and “contagion.” Policies to deal with volatility by weakening, or even …, to volatility. The paper utilizes a large, detailed database on individual trader positions in crude-oil and heating …

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports …-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility have exhibited a … volatility is an important factor in explaining the trade pattern of wheat trade worldwide. Keywords: wheat, export, exchange …