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 …

estimates of the long-term volatility. By providing an external validation of the model using an option-based index reported by …

from the Chicago board options exchange, CBOE, derivative market. We show the existence of the implied volatility smile of … the S&P stock index options by comparing historical in relation to implied volatility. There is significant time variation … in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. A possible …

volatility to capture the dynamics of the S&P 500 and three European equity indices. The stochastic volatility models are the … square root variance, GARCH, and log volatility diffusions, and each is augmented with price and volatility jump extensions … that GARCH diffusions augmented with correlated price and volatility jumps outperform other specifications with respect to …

dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that … volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest …

In this paper, we examined the changes in volatility overflow among the exchange rate of the Japanese yen (JPY), the … and transportation equipment indices). The findings highlighted causality in variance (volatility spillover) among the … variables. We revealed that volatility could also spread indirectly among the variables (from one variable to another through a …