straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … interaction with equity volatility has been analyzed in many studies. However, in most of them the 5-year credit default swap … spread is used to measure credit risk, whilst the at-the-money 1-month implied volatility is used to measure equity …

bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are … consistent with a stochastic volatility, stochastic jump intensity model, as put premia increase in volatility but decrease in …

, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …

volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel … present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the …

The aim of this article is to provide tools to calibrate a smooth local volatility surface in the presence of jumps …. First we provide techniques to approximate the value of European options in a local volatility model with jumps, then we … propose a quick and robust fixed point algorithm combined with this method to build smooth local volatility surfaces …

nature of the answer when the volatility differential is due to the systematic/priced risk. Here the difference in the … direction and magnitude of the net effect depends on the levels of asset beta and volatility and the moneyness and maturity of … nonlinear derivatives, one should pay attention to the source of volatility differential, and the sample range/mix of betas …

In this paper we present a critical point on connections between stock volatility, implied volatility, and local … volatility. The essence of the Black Sholes pricing model is based on assumption that option piece is formed by no arbitrage … shows even more. The volatility of the underlying should be also changed. Such practice calls for implied volatility …