such as the Variance Gamma and the Normal Inverse Gaussian models as well as their stochastic volatility counterparts, e …

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 shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk …

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 …

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 …

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 …

.We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option …This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices … due to future risk-free rate uncertainty. The purpose is to quantify the range of uncertainty under different scenarios …

We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset … for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …-arbitrage bounds. In mathematical terms, it demands however that not just ambiguities about the volatility but also about the drift …

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 …

multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and …. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape … up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying …

factors such as jump and volatility risks, short-sale constraints, and stock lottery characteristics. It is also inconsistent …