uncertainty of the underlying. Transferring this intuition to volatility jumps requires that in affine models the variance jump … model-free analysis shows that the local variance-of-variance describes risk-neutral variance jump expectations well across … crises, whereas its long-run stochastic mean remains at lower levels. Second, the vol-of-vol risk-premium increases to 6 …

such risk neutral probability. Given a well-interpolated volatility surface from market data, the risk neutral probability …The risk neutral measure is identified as a symmetric location-scale family of distribution in the local regime of the … λ model. A partial differential equation is derived as the transformation between the implied volatility surface and …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market … Quadratic Polynomial. In addition, the Risk Neutral Density is estimated with the first two models. It is shown that not … risk management, portfolio selection, and financial event studies …

This paper proposes a novel way of pricing S&P500 index options in the presence of jump risk. Our analysis is built …'s certainty equivalent to specify agent's risk preference, which displays a fanning out characteristic. We find that the fanning … effect captures a remarkably large portion of the total market risk premium implicit in options. As a result, the model with …

factor and by 0.247% for the factor of diffusion volatility. We obtain a R² value above 80%, and the jump risk factor is …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 …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution but are derived under the risk-neutral probability measure. This paper provides a direct way of converting risk … high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and …

the market diffusive risk have a higher option-implied volatility level while firms with a larger return compensation for … market jump risk have steeper option-implied volatility slope …The role of market jump risk premium implicit in individual equity options has not been examined to date. This paper …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and …

We propose a non-structural method to retrieve the risk-neutral density (RND) impliedby options on the CBOE Volatility … options, we retrieve the variance swap term structure, the timeseries of VVIX, the VIX risk-neutral moments and the Volatility-at-Risk …