The Journal of Finance, Vol. 57, No. 3 (Jun., 2002), pp. 1047-1091 (45 pages) We propose using the price range in the estimation of stochastic volatility models. We show theoretically, numerically, ...

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regression models where the errors exhibit deterministic or stochastic conditional volatilities. We develop a ...

The traditional approach to stochastic volatility (SV) modelling begins with the specification of an SV process, typically on the grounds of its analytical tractability (see, for example, Heston, 1993 ...

This paper builds and implements a multifactor stochastic volatility model for the latent (and unobservable) volatility of the baseload and peakload forward contracts at the European Energy Exchange ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three ...

The ability of the usual factors from empirical arbitrage-free representations of the term structure — that is, spanned factors — to account for interest rate volatility dynamics has been much debated ...

Any option trader’s first interaction with option pricing was probably quite similar to mine. My first interaction with option pricing was while reading “Option, Futures, and other derivatives” (by ...

Stochastic dynamical systems arise in many scientific fields, such as asset prices in financial markets, neural activity in ...