We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

construct managed portfolios of a risk-free asset and market index. …

volatility jump diffusion model …

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

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the … anchoring price lies within the bounds implied by risk-averse expected utility maximization when there are proportional …

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

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 …

This paper analyzes the joint dynamics of S&P 500 jumps and volatility using option-implied information. Our results … indicate that volatility is not related to the evolution of jumps but the uncertainty about volatility is. More uncertainty … about future volatility shifts the return distribution to the left, such that negative price jumps are more likely and …

multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and …. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape … up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying …