volatility jump diffusion model …

We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock … returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …

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 …

skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

which idiosyncratic volatility is allowed to be priced. We model the index dynamics' physical distribution as a mean …-reverting stochastic volatility process as in Heston (1993), and the equity returns as single-factor models with stochastic idiosyncratic … volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of …

We work in the Uncertain Volatility Model setting of Avellaneda, Levy, Paras [1] and Lyons [10] (cf. also [11]). We … first look at European options in a market with no interest rate and focus on theextreme case where the volatility has a … volatility given by the lower bound) of an option with payoff the smallest concave function above the initial payoff. We next …

demonstrate that geopolitical risk plays an important role in determining both oil price volatility and (to a lesser extent) stock … market volatility. An increase in geopolitical risk is associated with positive (negative) oil (stock) returns and is … correlation. This model shows short- and long-term volatility persistence for oil and stock prices, together with spillover …

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 …