In this paper, we derive a closed-form explicit model-free formula for the (Black-Scholes) implied volatility. The … that the proposed formula converges to the true implied volatility value. In numerical experiments, we verify the … stochastic volatility inspired (SVI) model, and the stochastic alpha beta rho (SABR) model. We also establish an explicit formula …

underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil … futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations … in commodity markets volatility. The volatility estimates reveal that in line with theory, the volatility factors are …

This paper provides a simple way to obtain an option-implied asset volatility surface. The proposed estimation … technique allows to estimate the unobservable asset volatility surface in the same fashion of what is done when equity … volatility is extracted from options. Given a sample of 66 US firms, the asset volatility is first estimated at the firm level …

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …

. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject …

This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries … approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for …

volatility models. Our method is based on a novel application of the exponential measure change in Palmowski & Rolski (2002 … stochastic volatility models with non-zero correlations, namely the Heston (1993), 3/2, and a special case of the α …-Hypergeometric stochastic volatility models recently proposed by Da Fonseca & Martini (2016). Then, we combine our method with a stochastic time …