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 …

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 …

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 …

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 develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic … volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their … ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …