trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

virtually any stochastic volatility model model can be approximated arbitrarily well by a carefully chosen continuous time … illustrates these contributions of the paper, estimating a stochastic volatility jump diffusion model …

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by … variance, and we examine the impact of the distribution of jumps on the associated implied volatility smile. We provide … sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In …

This paper provides a number of relevant guidelines to build a consistent Volatility Smile accounting for the FX market …

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility … smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Levy models … particular) many results for the spot implied volatility smile.In passing we (i) show that the forward-start date has to be …

Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors … is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during … major information events. This paper investigates whether the predictability of equity returns by volatility spreads is …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … of buying (selling) the portfolio with lowest (highest) changes in options implied volatility yields an average monthly …

Speculators who wish to bet on higher future volatility often purchase options to “go long volatility.” Should … investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these … questions, we conduct an analysis of the relationship between long volatility performance (buying options) and contemporaneous …