16:00) generally increases the variability of implied volatility spreads between puts and calls. In addition, it results … in considerable distortions at the outbreak of the COVID-19 pandemic and strongly affects aggregate implied volatility …

followed by long-run reversal. Significant returns remain after factor risk adjustment and after controlling for implied … volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

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 …

The recent literature provides conflicting empirical evidence on the pricing of idiosyncratic risk. This paper sheds … new light on the matter by exploiting the richness of option data. First, we find that idiosyncratic risk explains 28% of … the variation in the risk premium on a stock. Second, we show that the contribution of idiosyncratic risk to the equity …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be … significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …We present an integrated framework incorporating both exogenous liquidity risk in the secondary corporate bond market …

mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on … volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the … to the model's ability both to match equity volatility and to reconcile option prices with macroeconomic data on disaster …

This paper proposes a novel way of pricing S&P500 index options in the presence of jump risk. Our analysis is built …'s certainty equivalent to specify agent's risk preference, which displays a fanning out characteristic. We find that the fanning … effect captures a remarkably large portion of the total market risk premium implicit in options. As a result, the model with …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …