distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

The objective of this paper is to study the arbitrage free pricing of variance and volatility swaps for Barndorff … various approximate expressions for the pricing of volatility and variance swaps. We show that with the approximate formulas …

herkömmlichen Theorien. Diese Frage kann positiv beantwortet werden mit einer interessanten Interpretation von Volatility-Smiles als … Ergebnis aggregierter Volatility-Skews. Der Band richtet sich sowohl an Wissenschaftler als auch an Fachleute in Banken und …

financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G … this more complex situation and consider stock price dynamics which exclude arbitrage opportunities. Due to volatility … claims and deduce explicit results in a Markovian setting. -- Pricing of contingent claims ; incomplete markets ; volatility …

. Consequently, equilibrium prices are characterized by endogenous stochastic volatility and heavy tails. My equilibrium concept does …