, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … spread is used to measure credit risk, whilst the at-the-money 1-month implied volatility is used to measure equity …

In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely … independent of the volatility level. To take into account these stylized facts, this article introduces a novel two …

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

We extend and generalize some results on bounding security prices under several stochastic volatility models that …

stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We … implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This … options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The …. We use the straddle decomposition to analyze the volatility risk premium and the jump risk premium embedded in a straddle … volatility risk portfolio persistently generates positive returns during earnings announcement periods …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …