, and future realized stock return volatility. The relation implies a profitable option trading strategy of purchasing high … benefit most from increasing stock volatility. Our evidence strongly supports theories of noise trader risk …

multiple volatility factors. We first propose nonparametric estimates of marginal pricing kernels, conditional on the VIX and …. In particular, conditioning on volatility factors, the pricing kernel of market returns exhibit a downward sloping shape … up to the extreme end of the right tail. Moreover, the volatility pricing kernel features a striking U-shape, implying …

factors such as jump and volatility risks, short-sale constraints, and stock lottery characteristics. It is also inconsistent …

The stock options implied volatility skew reflects both the structural risk characteristics of the underlying company … default risk. The model can explain as much as 44\% of the cross-sectional variation in implied volatility skew and is …

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 …

In this paper, we consider how to generate simulation paths for underlying asset price and volatility that reproduce … the volatility smiles of plain vanilla, one touch and VIX options. Unlike general volatility models, we propose a method … using a Markov functional model that uses the realized volatility of the underlying asset price as the driver of VIX …

actively traded VIX options. Under the model, the evolution of future VIX is completely determined by the volatility function … of forward VIX squared normalized by VIX futures prices. A general volatility function with one- to three-factor models … general volatility function that incorporates mean-reversion and hump effects to test two multifactor models, (iii) finding …