exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

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 …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll … yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …; (iii) using volatility contracts as extreme downside hedges can be a viable alternative to buying out-of-the-money S&P 500 …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model … is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior …