This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

This work provides a new method for pricing options under the generalized stochastic volatility models with Jacobi stochastic correlation. Our method is based on the observation that the generalized models belong to the class of polynomial diffusions and therefore the option prices can be...

In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional kernel with the CIR process. The new model...