traditional measure of risk, equity volatility. We show that each variable has a statistically significant effect on the timing of … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value … for the volatility and ambiguity variables imply similar magnitudes of economic impact upon the exercise decision, with …

volatility over the next month, but with decreasing realized volatility. These predictability patterns 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 …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we … find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we … find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average …