determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for … power for the differences in the premia is approximately 64%. Implied Volatility and PRV by themselves also have substantial … amount of the variation in the data. We therefore conclude that variance risk premia, volatility and the risk free rate are …

We document the numerical aspects of the calibration of cross-currency options on the local volatility framework. We …

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first …

this paper, we first extract implied volatility indicators from the prices of the most actively traded option contracts on …

This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …

the CAPM. These results reveal that carbon, gas, coal and bond assets share the best properties for composing an optimal …

We compare the risk neutral pricing model with the CAPM when it is understood that both models are incorrect. We show …

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …