international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP … economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are … exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

problem in terms of three correlated processes that incorporate FX skew via a local volatility function. This formulation … method being modestly more efficient than CN-GMRES-FFT. An analysis of the impact of the FX volatility skew on the PRDC swaps …' prices is presented, showing that the FX volatility skew results in lower prices (i.e. profits) for the payer of PRDC coupons …