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 … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … Stochastic Volatility models have the best forecasting performance …

option implied volatility models. A significant part of the literature related to this topic shows that volatility forecast … accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of … volatility forecast models for the case of corn and wheat futures price returns. The models applied here are a univariate GARCH …

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of … decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure … delta-hedged option portfolio sorts on volatility innovation forecast data, while regression tree ensembles outperform OLS …

multi-factor Ornstein-Uhlenbeck temperature models which allow for seasonality in the mean level and volatility. Our main …