"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 …

where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown … 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 …

bond yields similar to those displayed by post- depression (1938-1999) U.S. historical experience are generated for low … easily matched, chiefly excess volatility and the presence of ARCH effects. These findings are robust to a number of details …