nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

the dynamics implied from the joint data but also in explaining the time series of option-implied volatility skew …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and …. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape … up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying …