to hedge jump risks, but not volatility risks. The effect of ESG performance is more prominent during the periods when …

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 …

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …

previous literature has focused on the effect of hedging activity on the volatility of the underlying, this paper focuses on …

probability of death using the daily range. Unlike conventional low-frequency volatility models that only utilize close …

the origins of these previously unreported calendar variations. Implied volatility and its variations are important to … task uses Fourier analysis for the first time in the literature of implied volatility and calendar effect modeling. For …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et …