..., the stochastic volatility model (SV), and the stochastic volatility with jumps model (SVJ). The analysis covers in-sample pricing, out-of-sample pricing, and hedging tests. Empirical results show that the SVJ model, which incorporates stochastic volatility and jumps, consistently outperforms others in both...

... randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American put prices with finite expiry. Derivative pricing American option Regime switch Stochastic volatility The coming of modern option pricing theory, pioneered by Black and Scholes (1973...

...Young Ho Eom; Woon Wook Jang This paper investigates empirically the modelling issues for the stochastic processes underlying KOSPI200 index options. Empirical results show that we need to incorporate two factor stochastic volatility processes to have a good option pricing performance. However...

... Over-Reaction Under-Reaction Stochastic Volatility Instantaneous Variance Implied Volatility © 2012 Emerald Publishing Limited 2012 This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works...

.../legalcode Martingale Restriction State Price Density Return Dynamics One-Dimensional Diffusion Process Stochastic Volatility ...

...Sang Il Han; Chang Hyun Yun In this paper we make an analysis of KOSPI 200 index options listed in Korea Stock and Futures Exchange whose trading volume is world best these days. We adopt the stochastic volatility model suggested by Heston (1993) for the dynamics of the underlying asset and use EMM...