We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … historical and risk-neutral probabilities. The model also allows to capture the empirical properties of pricing kernels, such as … time-variation and the typical S-shape. We apply our model for two purposes. First, we analyze the risk preferences of …

uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump … model-free analysis shows that the local variance-of-variance describes risk-neutral variance jump expectations well across … crises, whereas its long-run stochastic mean remains at lower levels. Second, the vol-of-vol risk-premium increases to 6 …

commodity prices and regime-switching in the commodity returns volatility. After a closed-form solution for the option value in …

which is the expected risk neutral value of realized volatility under the discrete version is the other. This study conducts …The implied volatility from Black and Scholes (1973) model has been empirically tested for the forecasting performance … of future volatility and commonly shown to be biased. Based on the belief that the implied volatility from option prices …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

systematically with the volatility of stock returns. We allow for correlation between stock returns and their volatility (so …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum … realized Sharpe, Sortino and information ratios increase when the sample covariance matrix estimator is replaced with its …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …