In recent years there has been a remarkable growth of volatility options. In particular, VIX options are among the most … actively trading contracts at CBOE. These options exhibit upward sloping volatility skew and the shape of the skew is largely … independent of the volatility level. To take into account these stylized facts, this article introduces a novel two …

This article investigates the options market around a revision in the financial analysts' consensus recommendation. The … results demonstrate that options investors trade in the correct direction of the upcoming revision approximately three days … prior to the announcement. We find this behavior in options-implied prices, implied volatilities, and options trading volume …

panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose …

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock … studies, the range-based volatility forecasts outperform in terms of statistical evaluation, Value-at-Risk calculation, and … option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital …