We introduce a tractable class of non-affine price processes with multifrequency stochastic volatility and jumps. The … and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and …

bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available … this choice on the cost process is analyzed. Referring to bond markets, a thorough study of the implications of volatility … mismatching is made and explicit results are stated for a broad range of volatility scenarios. …

Markets makers quote many option categories in terms of implicit volatility. In doing so, they can reactivate the Black … and Scholes model which assumes that the volatility of an option underlying is constant while it is highly variable. First … of all, this article, whose purpose is very empirical, presents a simulation of stochastic volatility programmed in …