Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

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 ...

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 ...

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating ...

A 15-Factor Heath, Jarrow, And Morton Stochastic Volatility Model For The United Kingdom Government Bond Yield Curve, Using Daily Data From January 2, 1979 Through November 30, 2021 Jan. 06, 2022 2:10 ...

Peter Friz, Paolo Pigato and Jonathan Seibel propose a modification of a given stochastic volatility model ‘backbone’ capable of producing extreme short-dated implied skews, without adding jumps or ...

Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a ...

We highlight a state variable misspecification with one accepted method to implement stochastic volatility (SV) in DSGE models when transforming the nonlinear state-innovation dynamics to its linear ...