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 …

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

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 …

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 …