Using prices of both S&P 500 options and recently introduced VIX options, we study asset pricing implications of … volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel …

very large effect on the pricing of deep out-of-the-money options on credit default swaps …

liquidity and specialness, suggesting that dealers respond to both valuation and information uncertainties; (4) Dealers exhibit … forecast bond returns only one day after the auction, suggesting that dealers have price-relevant information but the … information decays quickly …

impact on the pricing of CDS contracts, but a large impact on the choice of counterparties. We show that market participants … of central clearing on CDS pricing. Contrary to the previous literature, but consistent with our main findings on pricing …

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options-pricing …

measurement illustrates the importance of writing ambitious, robust asset-pricing models …