The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using … very finely sampled data on the S&P VIX index compiled by the CBOE. The data suggest that stock market volatility is best … component. The jumps in stock volatility are found to be so active that this discredits many recently proposed stochastic …

-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … volatility smile coherently with the new market evidences. …

along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility …

-curve generalization of the market standard SABR model with stochastic volatility. We then report the results of an empirical analysis on … approach has retarded up to August 2010. Finally, we show the robustness of the SABR model to calibrate the market volatility …

-factors attributed to the price of volatility risk in U.K. equity options. The results point out the presence of a negative risk premium … and indicate that both idiosyncratic volatility and macro-factor volatilities arising from shocks to an index of …

volatility and its risk premium component. Beyond leverage and risk premium effects, macroeconomic influences and some proxies …

This paper examines the advantages of incorporating strategic exposure to equity volatility into the investment …-opportunity set of a long-term equity investor. We consider two standard volatility investments: implied volatility and volatility … framework offering pragmatic solutions for long-term investors seeking exposure to volatility. The benefit of volatility …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing … premium can lead to incorrect conclusions about the volatility risk premium. We also show that delta-gamma hedges do not …

Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas … uncertainty, namely (i) agents’ disagreement and (ii) time-varying volatility of fundamental growth rates. The paper shows that …

The authors examine the advantages of incorporating strategic exposure to equity volatility into the investment … opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and … volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for long-term investors who seek …