stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium … options, such securities hedge against volatility risk and command lower volatility risk premia than the equities of value or … financially healthy firms. Conversely, corporate debt will tend to command large volatility risk premia, allowing the model to …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility …

We disentangle the risk of time-varying volatility and return in a consumption-based asset pricing model by introducing … stochastic volatility of consumption growth to asset prices moving in volatility units instead of moving in time. This time …-change approach yields additional insights to risk premia's composition. We explore stochastic volatility empirically where it eases …

change and volatility. This differs from the classical approach in which the expected rate of price change and variance are … marginal volatility has a minimum shortly before the expected log-price has an extremum. The maxi-mum of the volatility occurs … of Bitcoin's price serves as a test of this analysis. The volatility reached a mini-mum shortly prior to the peak of …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …