principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew …% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the … index option term structure. We develop an equity option valuation model that captures this factor structure. The model …

widespread skewness in index options. Finally, our model reveals a nonlinear relationship between bond and option prices that …

We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate … considering both the ability of explaining prices in-sample and out-of-sample - assessing both the pricing-performance and the …

facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …

The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In …

option-implied volatility measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice …. Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based realized …