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

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 …

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 …

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices ….We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option … to uncertainty in the volatility surface.We estimate the size of implied volatility layers between the surfaces …

volatility jump diffusion model …

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate …. In the first part, we create new volatility indices, which reflect market pricing of subsequently realised volatility of … underlying bond futures. We express volatility indices in both price and basis points, the latter being more intuitive to …

by applying ‘extreme value theory', and then use these measures to investigate the information content of option …

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 …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

assume that the returns from the perspective of the domestic investor are driven by a Wishart Affine Stochastic Correlation …