ignoring liquidity is modelled with a stochastic volatility jump-diffusion (SVJ) model and that model is augmented with the … incorporation of a liquidity process. The new model is called liquidity augmented stochastic volatility jump-diffusion (LASVJ) model …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump … on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of … properties of stochastic volatility model are shown to have more impact on long-term options, the random jump is shown to have …

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 …