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 …

This study compares the efficacy of Black–Scholes implied volatility (BSIV) with model-free implied volatility (MFIV …) in providing volatility forecasts for 13 North American, European, and Asian stock market indexes: S&P 500 (United States … Kingdom). In-sample volatility forecasts show that both BSIV and MFIV significantly improve the fit of a GJR-GARCH(1,1) model …

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …