is necessary to price the volatility risk inherent in financial markets. Non zero market risk premia have been found in … volatility. Building upon previous work by Mielkie and Davison (2013) where an approximate solution was derived for options … written on underlying assets with regime-switching volatility, we analyze the impact of the market price of volatility risk on …

to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …

categories with a high level of volatility in In-the money category, other finding concludes that the Monte Carlo Simulation … method is outperforming when the volatility is lower, while the Black-Sholes model and the Binomial model are outperforming …

conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

to model a credit quality process as an Itô integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Lévy …

premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …