the pricing kernel has strong implications for the impact of volatility on expected options returns. For example, we show … both theoretically and empirically that higher volatility can increase or decrease expected call option returns, depending …

different measures of the slope of the implied volatility smirk, we show that the slope of the calls' implied volatility smirk …' implied volatility smirk is driven by investors' expectations about a reversal in the economy. Overall, our results highlight …

-monotonically decreasing return pricing kernels and u-shaped volatility pricing kernels. Based on the non-parametric estimates, a parametric … option pricing model that matches the stylized facts in the return and volatility dimension is proposed. Moreover, it is …