equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of … simultaneously-traded European-style options. -- Continuous-time equilibrium ; CAPM ; affine processes ; information-based asset …

option prices in the presence of stochastic volatility, demand pressure and short-selling constraints. -- Competitive …

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This … paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that …. We analyze the volume-volatility relationship using IBM stocks data. In particular, we rely on the realized volatility …

We present a two-factor volatility model to study the impact of news arrival and trading volume on stock returns … variance. The model can explicitly account for the association between volatility and volume, as well as the persistence in … volatility variations. The common observation that large volumes are associated with high volatility is explained by the fact …