We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …

Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models … corresponding market and the non-observability of the associated volatility process. In this paper we introduce new pricing kernels … for this setup and apply two existing volatility filtering techniques available in the literature for these models, namely …

volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …