.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 …

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

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 …

: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …