volatility jump diffusion model …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

volatility, volatility-of-volatility, and Merton-jump diffusion are derived …

two key channels---the volatility channel and the price channel---and a change in systematic risk causes a repricing of … the underlying asset that may dominate the volatility channel. The comparative statics are robust to the presence of … stochastic volatility, and thus yield internally consistent implications not only for the cross-section of options but also for …

-oil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative …

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 …

the market diffusive risk have a higher option-implied volatility level while firms with a larger return compensation for … market jump risk have steeper option-implied volatility slope …