their underlying stocks that provide incremental information for the cross-sectional variation of expected delta …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum … realized Sharpe, Sortino and information ratios increase when the sample covariance matrix estimator is replaced with its …

. Second, Fama- MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call …The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. We show … variance risk premium in stock options is negative. Our analysis highlights the importance of microstructure biases and …

the derivation of a unique variance risk premium and price of volatility risk based only on the underlying return and … volatility risk prices yield in option values in comparison to prices extracted from observed option market data. We also present … volatility dynamics for a wide class of stochastic volatility (SV) models. The SD approach also derives under similar conditions …

-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency … however disappears if volatility risk is also taken into account, consistent with the existence of risk premiums for both …We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by …

The fair value of an option is given by breakeven volatility, the value of implied volatility that sets the profit and … loss of a delta-hedged option to zero. We calculate breakeven volatility for 400,000 options traded on the S&P 500 Index …, and we build a predictive model for these volatility values. A two-stage regression approach captures the majority of …

used to derive a measure of the volatility of interest rate and also that of the Prices. This is achieved by exploiting the …

We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … historical and risk-neutral probabilities. The model also allows to capture the empirical properties of pricing kernels, such as … time-variation and the typical S-shape. We apply our model for two purposes. First, we analyze the risk preferences of …

portfolio. The results reveal that market default risk is positively (negatively) related to the index risk-neutral volatility …This paper examines the time series economic determinants of Standard & Poor's (S&P) 500 Index option-implied risk … computed by aggregating daily default risk measures for all individual, non-financial firms included in the S&P 500 Index …