difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option … volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion …

volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian … volatility estimates more closely approximate the implied volatility of stocks derived from traded call and put options prices … compared to historical volatility estimates sourced from IVolatility.com (“IVolatility”). Our evidence suggests use of the …

This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We …

In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option … more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the variance risk … one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a … large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous … overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up … functions in closed-form, which help with pricing and risk measure calculations. In a numerical example, we demonstrate the …

trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …