volatility jump diffusion model …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … selling of VIX instruments could have substantial volatility jump risk exposure which can result in economically meaningful … buys VIX calls – had lower volatility and less severe maximum drawdowns than the stock and commodity benchmark indexes …

The challenge in long volatility strategies is to minimize the cost of carrying such insurance due to negative roll … yields and negative volatility risk premia. This study proposes a hedging strategy for volatility as an asset class that …; (iii) using volatility contracts as extreme downside hedges can be a viable alternative to buying out-of-the-money S&P 500 …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … traditional models with the highest and lowest possible volatility. Due to these pricing formulas, the model naturally exhibits …

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk …