positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no … index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that …

We investigate the effects of return jumps on option bid-ask spreads measured in implied volatility. To explain bid … shows that bid-ask volatility spread increases by 0.742% for a one-standard-deviation increase in our defined nonlinear jump … factor and by 0.247% for the factor of diffusion volatility. We obtain a R² value above 80%, and the jump risk factor is …

investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … risk in an incomplete market with both directional and volatility risk. We extend this model to multi-periods and show that … the same phenomenon occurs there as well. Two new implications are generated: a volatility level effect and a volatility …

to the likelihood of upward jumps in volatility. Consistent with investors disliking high levels of economic uncertainty …, we find that the overall shape of the estimated volatility pricing kernel is increasing. For certain periods, there is a … puzzling U-shape. The behavior of the volatility pricing kernel over time reveals that the financial crisis has affected …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

We use a dynamic term structure model to extract latent volatility risk factors from short term VIX futures. While the … first factor, closely related to the level of volatility, does not contain predictive information about VIX futures returns … of the third volatility factor is particularly strong: It is robust to controlling for other known predictors …