We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and …

such as the Variance Gamma and the Normal Inverse Gaussian models as well as their stochastic volatility counterparts, e …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk …

volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of … idiosyncratic volatility risk, which turns out to be significantly different from zero for all the stocks in our sample. We … which idiosyncratic volatility is allowed to be priced. We model the index dynamics' physical distribution as a mean …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed … in previous literature, but very little is known about their properties and information content. This paper presents a …-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …

-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …