In this paper, we provide a new dynamic asset pricing model for plain vanilla options on equity option indexes. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by GARCH-type models with generalized hyperbolic...

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to one month. We extend the methodology developed in Maheu and McCurdy (2011) to exploit the information content of intraday data in forecasting the density of returns. Considering...