nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

We investigate the effects of return jumps on option bid-ask spreads measured in implied volatility. To explain bid … shows that bid-ask volatility spread increases by 0.742% for a one-standard-deviation increase in our defined nonlinear jump … factor and by 0.247% for the factor of diffusion volatility. We obtain a R² value above 80%, and the jump risk factor is …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

Chicago Board Options Exchange (CBOE) volatility index (VIX) options. Our methodology is analytically tractable and yet … modeling the stochastic co-volatility factor can significantly improve the in-sample fitting results due to the improved …

-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

I propose an affine discrete-time model, called Vector Autoregressive Gamma with volatility Bursts (VARG-B) in which … volatility experiences, in addition to frequent and small changes, periods of sudden and extreme movements generated by a latent …

general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …

then apply a similar analysis to a time-dependent Heston stochastic volatility model, and we show to construct a time …-dependent mean reversion and volatility-of-variance function, so as to be consistent with the observed variance swap curve and a pre … second moments of the integrated variance, and derive an approximation for the price of a volatility swap under the time …

In this paper we prove an approximate formula expressed in terms of elementary functions for the implied volatility in … implied volatility function. The proof is based on saddlepoint methods and classical properties of holomorphic functions …

volatility model, by developing efficient transform based pricing methods. This non-affine model gives prices of options on … realized variance which allow upward sloping implied volatility of variance smiles. Heston's (1993) model, the benchmark affine … stochastic volatility model, leads to downward sloping volatility of variance smiles - in disagreement with variance markets in …