which idiosyncratic volatility is allowed to be priced. We model the index dynamics' physical distribution as a mean …-reverting stochastic volatility process as in Heston (1993), and the equity returns as single-factor models with stochastic idiosyncratic … volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … of buying (selling) the portfolio with lowest (highest) changes in options implied volatility yields an average monthly …

volatility. Additionally, we take advantage of the 2015 change in CME's daily settlement methodology for agricultural commodities …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

We work in the Uncertain Volatility Model setting of Avellaneda, Levy, Paras [1] and Lyons [10] (cf. also [11]). We … first look at European options in a market with no interest rate and focus on theextreme case where the volatility has a … volatility given by the lower bound) of an option with payoff the smallest concave function above the initial payoff. We next …

Variance premium is studied under a discrete-time consumption-based equilibrium model, with two stochastic volatility …. The implication of the model is that variance premium term structure contains information about two underlying volatility …

Volatility trading is in vogue. Launched in January 2009, exchange-traded products (ETPs) linked to the CBOE Market … Volatility Index (VIX) have enamored no small number of traders judging by the billions of dollars invested in these new products …