The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of …-minute interval. It was found that the information content of implied volatility has a humped shape, with out-of-the-money options …

risk (i.e., left tail risk). Recent research shows that opaque financial reports enable managers to hide and accumulate bad … examining the impact of financial reporting opacity on perceived or expected crash risk. Prominent economists, such as Olivier … investor confidence and stabilizing the stock market. Using the steepness of option implied volatility skew as a proxy for …

Brownian motion. -- asymptotic uniformity ; local limit theorem ; volatility …

three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …

the dynamics implied from the joint data but also in explaining the time series of option-implied volatility skew …

-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 …

supplementary information about the variance of the returns on the underlying security. Such information can be extracted from …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …