While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

This paper conducts a thorough and detailed investigation on the implications of stochastic volatility and random jump on option prices. Both stochastic volatility and jump-diffusion processes admit asymmetric and fat-tailed distribution of asset returns and thus have similar impact on option...

This article examines the class of continuous-time stochastic processes commonly known as afŽfine diffusions (AD's) and afŽfine jump diffusions (AJD's). By deriving the joint characteristic function, we are able to examine the statistical properties as well as develop an efficient estimation...