one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use … premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …

significant pricing errors remain. Recent research document models that fit LIBOR and swap rates but do not price derivatives well …, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … cap prices. However, the relative mispricing between interest rate caps and underlying LIBOR and swap rates could also …

significant pricing errors remain. Recent research document models that fit LIBOR and swap rates but do not price derivatives well …, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … cap prices. However, the relative mispricing between interest rate caps and underlying LIBOR and swap rates could also …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

imposes inconsistent assumptions on underlying securities. The phenomenon is referred to as the volatility smile. This paper … function we obtain a wide range of shapes of implied volatility curves with respect to option strikes. The model has closed …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … implied probability distributions that might explain this anomaly. I develop a simulated method of moments estimation …

Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by … volatilities from over-the-counter options on eight different currencies, quoted against the Euro. We examine implied volatility … volatility trading strategies in the absence of transaction costs. Comparing across competing models, our results suggest that …

, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as volatility smile. They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …