In this paper, we propose a parametric model of implied variance which is a natural generalization of the SVI model. The model improves the SVI by allowing more flexibly the negative curvature in the tails which is justified both theoretically and empirically. The fitting of the model, comparing...

This paper is concerned with the behavior of the risk premium on the market portfolio of risky assets. The paper provides a characterization of the evolution of the market risk prem ium in economies where the variance of the return on the market has constant variance and market index options can...