We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic … volatility models, and implements it to analyze models of S&P 500 index volatility. Volatility models are compared by their … ability to hedge options positions sensitive to the term structure of volatility. Overall, the most effective hedge is a Black …

An efficient method is developed for pricing American options on combination stochastic volatility …/jump-diffusion processes when jump risk and volatility risk are systematic and nondiversifiable, thereby nesting two major option pricing … models. The parameters implicit in PHLX-traded Deutschemark options of the stochastic volatility/jump- diffusion model and …

introducing time-dependent parameters to fit arbitrage-free models to selected asset prices. We show, in a simple one … arbitrage-free models should be complemented by close attention to fundamentals, which might include mean reversion, multiple … factors, stochastic volatility, and/or non-normal interest rate distributions …

Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry … explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …

market incompleteness. " To investigate the practical significance of these -arbitrage strategies examples including path …-dependent options and options on assets with stochastic volatility and jumps. " …

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …