Diffusion models for volatility have been used to price options while ARCH models
predominate in descriptive studies of asset volatility. This paper compares a discrete‐time …

Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

I use a new technique to derive a closed-form solution for the price of a European call option
on an asset with stochastic volatility. The model allows arbitrary correlation between volatility …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

1.1 Introduction Research into time series models of changing variance and covariance,
which I will collectively call volatility models, has exploded in the last ten years. This activity …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

An efficient method is developed for pricing American options on stochastic volatility/jump-
diffusion processes under systematic jump and volatility risk. The parameters implicit in …

Substantial progress has been made in developing more realistic option pricing models.
Empirically, however, it is not known whether and by how much each generalization …

This is the fourth, expanded edition of the comprehensive textbook published in 1990 on the
theory and applications of path integrals. It is the first book to explicitly solve path integrals of …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …