This paper extends the AK production model in Pindyck and Wang (2013) into a more general setting in which the volatility of capital stock is stochastic and driven by shocks. After solving the equilibrium, the fundamental shocks are embedded into the stock price and the leverage effect is...

In this paper, we provide an exact formula for the skewness of stock returns implied in the Heston (1993) model by using a moment-computing approach. We compute the moments of Ito integrals by using Ito's Lemma skillfully. The model's affine property allows us to obtain analytical formulas for...

Using three option market measures, we find evidence from 28 countries/regions that the COVID-19-induced uncertainty is priced in the index exchange-traded funds (ETF) options market. Specifically, options that provide protection to hedge against price risk, variance risk, and tail risk...