discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized …Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future … stochastic volatility process. Exploiting the conjugacy of the Wishart and the Gaussian distribution, we develop a … individual prices and their volatility. It also shows that this model has a good out-of-sample forecast performance …

jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the …

probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer … equivalence. The question arises is of the glaring surfeit in the immersion of the price of risk within the invariant state market … stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition …

frequent convert between cryptocurrency and fiat currency. However, research on fair pricing and hedging for the inverse BTC … option still needs to be completed. In this paper, we conduct dynamic hedging of the inverse BTC options under the Black …-Scholes model and the Heston stochastic volatility (SV) model. In addition, we provide novel formulae of Delta, Gamma, and Vega …

returns and VIX data indicates that an asymmetric heavier-tailed distribution is more appropriate for modelling the GARCH … versus continuous-time modelling of asset returns …

. The dynamics of the underlying BTC is well described by a stochastic volatility model but in pricing inverse options one … meets numerical difficulties in calibration and hedging. Financial analytics for the practically useful stochastic … volatility with correlated jumps model is provided and comparison with simpler nested models both in in-sample and out …

find that consistent with the theory of storage, long run volatility is positively related to lagged returns. Thus …We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected … dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates …