regard to the prediction of returns, volatility and density in the S&P 500 index. Our results reveal that the information … VIX options. Our findings are robust to various measures of realized volatility and methods of density evaluation …

In this analysis we are concerned with the issue of whether market forecasts of volatility, as expressed in the Black … comprising 5-minute returns, makes volatility the subject process of interest, to which innovations are introduced via a … volatility-of-volatility (kurtosis) process. Despite performing robustly in- and out-of-sample, an encompassing regression …

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …

For nonzero but small values of correlation a method is given to de-correlate the instantaneous volatility from the … price process in stochastic volatility models. Once the skew has been symmetrized in this manner, it is possible to imply … moments of realized volatility from the index option prices in this de-correlated setting. The implied moments can …