We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

discovery. We document that out-of-themoney (OTM) option prices, which determine the Risk-Neutral Skewness (RNS) of the … underlying stock return's distribution, can embed positive information regarding the underlying stock. A long-only portfolio of … risk. These findings are consistent with a trading mechanism where investors choose to exploit perceived stock underpricing …

volatility jump diffusion model …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be … significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … evidence on the transmission, measurement, and implications of risk information …

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a … proxy for the impounding of new information, and changes in the interpretation of existing information, into option prices …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns …

influence of different investor types' net options demand on the KOSPI200 options-implied volatility dynamics. We extend Bollen … impacts of net buying pressure on implied volatility, and the effect of regulatory reform in the options market. Our empirical … institutions' net demand is the most informative about the underlying market volatility independent of the market reform, while …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are … removed, isolating the effect of skewness. We find a strong negative relation between implied risk-neutral skewness and the …

We investigate the pricing of risk-neutral skewness in the stock options market by creating skewness assets comprised … exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …, isolating the effect of skewness. We find a strong negative relation between risk-neutral skewness and the skewness asset …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas …