explained by the standard general equilibrium theory if consumption demand is treated as the primary source of aggregate …

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

factor and risk-neutral probability measure to become path-dependent and introduces serial correlation and volatility … clustering in stock returns. We also derive conditions under which the expected value and volatility of stock prices will be …