We analyze the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on the structure of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process...

We analyze the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on the sucture of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process itself....

Kurtosis in asset prices and returns has been so widely documented it hardly bears comment. Equally interesting, in our view, is the relatively modest kurtosis in consumption growth and inflation. The question is how to reconcile the two: Is kurtosis in asset prices inherited from macroeconomic...

In 1993, the Chicago Board of Options Exchange (CBOE) introduced the COBE Volatility Index (VIX). This index has become the de facto benchmark for stock market volatility. On September 22, 2003, the CBOE revamped the definition and calculation of the VIX, and back-calculated the new VIX up to...

We document the behavior of over-the-counter currency option prices across moneyness, maturity, and calendar time on two of the most actively traded currency pairs over the past eight years. We find that the risk-neutral distribution of currency returns is relatively symmetric on average....