We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for … individual stock options, equity returns, and interest rates. -- Volatility Smile ; Volatility Smirk ; Implied Volatility … ; Option Pricing ; Portfolio Insurance ; Market Risk …

primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …. Lastly, we find some portion of OTM put option returns are attributable to the jump risk premium …

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …

risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related … the U.S. economy can explain the documented negative relation between risk aversion and future economic growth. …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …