model-free and risk-neutral, derived from available option data. Depending on its particular definition, each index …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than …. Moreover, one interesting implication is that the implied average risk aversion of investor for a storage contract increases … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

match a set of subjective density functions derived from risk-neutral densities, including the CPT with the empirical …

stock returns. Allowing for non-zero risk-premium of stochasticvolatility and based on implied volatility, the SV models can …While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the … then investigate the respectiveeffect of stochastic interest rate, systematic volatility and idiosyncraticvolatility on …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all …

capturing jump contagion for risk management, option pricing, and scenario analysis. …

behavioral bias is strongly time-varying, and is linked to equity market sentiment and higher moments of the risk-neutral density …. We find that our implied volatility (IV) sentiment measure, jointly derived from index and single stock options, explains … risk premium literature. …