-performance; (4) impact of conditioning hedging strategy on realized volatility. The asset returns are addressed by the General Auto … results in a realistic term-structure of the fat-tails, dynamic-asymmetry, and clustering of volatility. The relationship …-hedger. Tail-risk measures are shown to diminish by conditioning the hedging strategy and valuation on realized volatility. The …

time to maturity and to the volatility of the underlying index. Both American put valuation models examined do not fully …

-dependent, the model is also able to generate a wide cross-sectional dispersion in implied volatility surfaces that matches what we …

pricing is the volatility of the underlying asset. Exchanges often overestimate volatility in order to cover any sudden … changes in market behavior, leading to systematic overpricing of derivatives. Accurate forecasting of volatility would expose … systematic overpricing. Unfortunately, volatility is not an easy phenomenon to predict or forecast. One class of models that have …

This study analyses the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also … directionally accurate in predicting future volatility changes. However, we also find that implied volatility of carbon options is …