volatility jump diffusion model …

16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

followed by long-run reversal. Significant returns remain after factor risk adjustment and after controlling for implied … volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and … high volatility using a suitable hedging structure. One particular volatility hedge, involves taking a position in an …