For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …. Markovian discrete time approximations are simulated to incorporate stochasticity in all three entities, volatility, skewness … stochasticity in volatility and skewness. Implications for a log normal volatility of volatility are presented along with the …

A local volatility model is enhanced by the possibility of a single jump to default. The jump has a hazard rate that is … and equity option prices both the deterministic component of the hazard rate function and revised local volatility. The …

component for the equity bias, volatility and desirability of returns across horizons, horizon effects on expected returns, and … free rates using volatility targets …

We propose a model of volatility tail behavior, in which investors display aversion to both low volatility and high … volatility states, and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility … dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and maximize their utility …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …