The game option, which is also known as Israel option, is an American option with callable features. The option holder can exercise the option at any time up to maturity. This article studies the pricing behaviors of the path-dependent game option where the payoff of the option depends on the...

This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...

The paper reports further empirical evidence on seasonality in foreign exchange volatility using high-frequency data. Using a basis of the signal plus noise framework, the approach decomposes tick-by-tick Reuters FXFX quotes into a random walk and a stationary component, termed the efficient...