Brownian motion. Finally, we derive pricing bounds for convertible bonds in an uncertain volatility model, i.e. when the … volatility of the firm value process lies between two extreme values. -- Convertible bond ; game option ; uncertain volatility …

increase in price volatility as well, however, under certain conditions. Price changes from pyramiding effect are also …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably … cashflow ; excess volatility ; variance bound test ; rational expectations …

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by … leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD … the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …

with idiosyncratic volatility (IVOL). The relation between IVOL and alpha is positive among underpriced stocks but negative …