The slope of the implied volatility term structure is positively related to future option returns. We rank firms based … on the slope of the volatility term structure and analyze the returns for straddle portfolios. Straddle portfolios with … high slopes of the volatility term structure outperform straddle portfolios with low slopes by an economically and …

actively traded VIX options. Under the model, the evolution of future VIX is completely determined by the volatility function … of forward VIX squared normalized by VIX futures prices. A general volatility function with one- to three-factor models … general volatility function that incorporates mean-reversion and hump effects to test two multifactor models, (iii) finding …

asset price evolves with on jumps. The difficulty in deriving implied information from fractional Brownian market is due to … the fact that both Hurst exponent and volatility are unobservable. So they can be derived as a whole from single … different maturities is suggested to solve this problem. We also make a comparison between volatility in classical Brownian …

We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options … illiquidity, market illiquidity, and asymmetric information. When they are segmented, VIX derivatives contribute more to the …

stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean …-level processes into account. The available anticipative information is modeled by an initially enlarged filtration in our paper. We … further derive pricing formulas for electricity forwards under future information and investigate the associated information …

that are caused by incorrect dividend information and other issues related to dividends. The implied volatilities of stock … 16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in … pricing options, GARCH (Generalized Autoregressive Conditional Heteroskedasticity), implied volatility, historical volatility …, and implied volatility index (VBI) are used to determine the best volatility approach for pricing options according to …

The research in this paper is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt …