terms of a single perpetual-bond equivalent issue, we define leverage, show the stochastic nature of equity volatility and … the leverage parameter L and make use of the univariate normal distribution function, are consistent with the volatility …

volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern …

volatility, volatility-of-volatility, and Merton-jump diffusion are derived …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

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 …

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility … that use daily returns as well as realized volatility. We derive convenient closed-form option valuation formulas and we … assess the option valuation properties using S&P500 return and option data. We find that realized volatility reduces the …

between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying … idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime, we show that the options …' constant expected returns are composed of (i) a state dependent drift term that relates positively with the volatility regime …