metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

different across the regimes of economic strength. We use both the absolute pricing error and the model-implied volatility …

discontinuities due to stochastic volatility and event related jump risks. We find that: (i) both volatility jumps and positive price …-linear in risk aversion while hedging demand tends to dominate the market portfolio. (iii) Volatility jumps have greater impact … on optimal portfolio decisions than price jumps and (iv) In the presence of jumps and volatility risks, optimal portfolio …

from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use … attacks on the expectation of future Euribor interest rates. -- Implied volatility ; risk neutral density estimation …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

function to maturity that satisfies the consistency condition, the European volatility smile is obtained. As an illustration of … the formalism, we show that when the underlying asset price changes at constant volatility (standard deviation), the … offer a parameterization of the volatility smile with a closed-form expression using pre-calculated tables. Comprehensive …

This paper evaluates the application of two well-known asymmetric stochastic volatility (ASV) models to option price … forecasting and dynamic delta hedging. They are specified in discrete time in contrast to the classical stochastic volatility (SV … volatility asymmetry on option pricing. The objectives of this paper are to estimate ASV option pricing models using a Bayesian …