contracts and from zero to 40% between 2011 and 2022. We study how 0DTE option trading affects the volatility of the underlying … asset. We find that more 0DTE options trading increases the volatility of the underlying asset. An increase of one standard … approximately 13.64% increase in the 5-minute volatility of the underlying asset on the same day …

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …

incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion … technique for the underlying volatility process, we derive explicit expression for the solution of the FBSDE up to the third … order of volatility-of-volatility, which can be directly translated into the optimal investment strategy. We compare our …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

sensitive to the way the volatility surface is constructed. For some state-of-the-art volatility surfaces, the differences are … problem we propose a volatility surface that is built with a one-dimensional kernel regression. We assess its statistical … accuracy relative to existing state-of-the-art parametric, semi- and non-parametric volatility surfaces by means of leave …

, seasonalities, and stochastic volatility. In particular, we investigate the pricing procedures for electricity swaps and options in …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …