examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices …

We dissect the fine structure of volatility risks, as an important component of time-varying investment opportunities … channels in modeling volatility risks: stochastic volatility-of-volatility and volatility jumps. We find that zero …-delta straddles and delta-hedged portfolios of VIX options, which are neutral to changes in VIX but sensitive to volatility-of-volatility …

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return … time series and to fit the volatility smile for exchange-traded options where the underlying is the main ‘Borsa Italiana … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …