The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment methods and discuss applications to exotic volatility derivatives. The method...

We address the problems of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. We show that when volatility is stochastic but fast mean reverting Black-Scholes pricing theory can be corrected. The correction accounts for the effect of stochastic volatility and the associated market price of risk. For European derivatives it is given by explic...

according to stock price excessive volatility in tehran stock exchange, the price limit mechanism is utilized in order to making the price fluctuation narrow and based on the specific periods, the price limit has encountered some variations which price limit has been determined by try and error within these periods and in a short stage of time many modifications existed through the applications...

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model--adding a slow, but significant, ...

Volatility is a statistical measure that describes the amount of fluctuation in prices for a given investment; generally, the higher the volatility for an investment, the riskier it is perceived to be. Traders study volatility history so that they can make informed decisions on how to invest capital. The purpose of this article is to analyze implied volatility values, which are derived from the...

Forest products have remained an important part of southern rural economies in the United States. As one of the major raw materials, stumpage has been a key component of production cost in the forest products industry, and therefore its price has been of great concern. Since the late 1970’s stumpage prices in the U.S. South have been changing considerably over time. This study uses analysis of ...

We study a financial market with incompleteness arising from two sources: stochastic volatility and portfolio constraints. The latter are given in terms of bounds imposed on the borrowing and short-selling of a ‘hedger’ in this market, and can be described by a closed convex set K . We find explicit characterizations of the minimal price needed to super-replicate European-type contingent claims...