-diffusion process with stochastic volatility. Agents haveCRRA utility, but differ with respect to their degree of risk aversion. The … than the more risk-averse one. Volatility derivatives, onthe other hand, are special in the sense that the direction of …

stochastic volatility, where both the dividend itselfand its volatility can jump. We work in a complete markets economy and … andexpected stock returns. It causes a significant trading volume in derivatives and isone of the reasons for excess volatility …. In our model, excess volatility is also causedby stochastic volatility and can thus be observed even in the homogeneous …

variance contract under different scenarios, namely underpure estimation risk (or parameter risk) in a stochastic volatility … volatility instead of jumps or vice versa), and under modelrisk when risk factors are omitted (e.g. when the true model contains …

non-traded risk factors. Our main findings for a stochastic volatilitymodel with unbounded volatility show that there is …

volatility or stochastic jumps or both of these riskfactors. The focus is on the pricing of European options. In a first step, we … discussthe impact of the parameters in stochastic volatility models and in jump-diffusionmodels, the characteristics of the … implied volatility smile in these two models, andthe main structural differences between stochastic volatility and stochastic …