volatility skew puzzle. The analogy model is consistent with empirical findings about returns from well studied option strategies …An analogy based call option pricing model is put forward. The model provides a new explanation for the implied …

positive implied volatility skew for VIX option. In contrast, MRLRJ and MRLRSV models perform equally well in fitting positive … volatility skew of VIX option, nor have they compared the pure diffusion version of MRLR with its jump and/or stochastic …-reverting logarithmic model (MRLR), no work has been done in considering stochastic volatility in MRLR to capture the positive implied …

formula,called the analogy option pricing formula, provides a new explanation for the implied volatility skew puzzle in equity …

for the implied volatility skew puzzle in equity options. We also discuss the key empirical predictions of the analogy …

the implied volatility skew and term structure puzzles in equity index options but is also consistent with the observed …

generalization of the Black-Scholes formula. The new formula provides an explanation for the implied volatility skew puzzle in index …