We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

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 …

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 …

volatility surface for assets with sparse market option data. We will show how to use extremely small amount of data, which could … be as little as three options, to generate the whole volatility surface for all the relevant maturities and strikes. The …

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for …

volatility jump diffusion model …

most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of volatility, Sharpe … ratio, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility …. Using option-implied correlation does not improve any of the metrics. Using option-implied volatility, risk-premium, and …