Although intraday volatility has been studied extensively for many asset classes, there are still important questions to be answered: Is the unconditional mean diurnal profile time-invariant? Does ...

We extend the existing small-time asymptotics for implied volatilities under the Heston stochastic volatility model to the multifactor volatility Heston model, which is also known as the Wishart ...

Volatility influences options prices because dramatic price swings amplify gains and losses. While traders can’t look at a crystal ball to see how much volatility the market will endure, implied ...