This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic volatility model. We … derive explicit approximation formulas for the so-called forward implied volatility which can be useful to price complex path … generalized to a wider class of local-stochastic volatility models. We illustrate the effectiveness of the technique through some …

The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices … is the best estimate of future volatility, this study tries to find out a better model, which can derive the implied …

This article proposes a simple and intuitive framework to combine a discrete volatility forecast series produced by a …-combining binomial trees that capture the distributional properties of the volatility forecasts. Finally, the framework is employed to …

interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return … qualitatively replicates the predictability pattern of IRVRP for bond returns. …

calculate implied volatility and analyze if volatility forecasts can be improved using such information. Implied volatility is … less accurate than ARMA or HAR model forecasts in predicting short-term future bitcoin volatility (1 day ahead), but … superior in predicting long-term volatility (7, 10, 15 days ahead). Further, a combination of implied volatility and model …

of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of … decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure … delta-hedged option portfolio sorts on volatility innovation forecast data, while regression tree ensembles outperform OLS …