In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the … asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is …

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

market, volatility and jump risks, and observation error of time changes. To operationalize the models, we use volume …

difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain …

common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …

We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and … variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match … the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options. …

We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi …

We derive analytic series representations for European option prices in polynomial stochastic volatility models. This …