of stochastic volatility and jumps for option valuation. This example highlights the impact on option 'smirks' of the … joint distribution of jumps in volatility and jumps in the underlying asset price, through both amplitude as well as jump …

options to also have negative excess returns. Empirically, synthetic options have CAPM alphas near zero over the period 1926 …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

.i.d. process. Below, however, we use the insight of Bansal and Yaron (2004) to demonstrate that the 'volatility smirk' can be … investigated) is whether one can explain within a standard preference framework the stark regime change in the volatility smirk … hence can explain why the volatility smirk has not diminished over the last eighteen years. We find that the model can …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

-dependent options and options on assets with stochastic volatility and jumps. " …

competing explanations: stochastic volatility models with negative correlations between market levels and volatilities, and … squares/Kalman filtration methodology. While volatility and level shocks are substantially negatively correlated, the … stochastic volatility model can explain the implicit negative skewness only under extreme parameters (e.g., high volatility of …