The bias between the expected realised variance under the historical measure and the risk neutral probability introduces the concept of the risk premium. How does the market variance risk premium vary over time or look like in the future? Our work introduced a probabilistic modeling of the...

This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of the news and jumps. We demonstrate our framework, which...

This study examines how calibrated stochastic volatility models maintain their option pricing performance over subsequent days. Specifically, using a number of sets of single and multi-day data, different loss functions, and regularization techniques, we examine the dynamics of the pricing...

In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility would indicate market inefficiency. Using...

We develop a novel, option-based approach for detecting intraday jumps in stock prices. One of the components involved in intraday jump detection is instantaneous volatility, by which intraday returns are scaled. The existing intraday jump detection approaches assume that volatility does not...

In this paper, we provide a new framework for stock and options valuations by characterizing the joint dynamics of stock price, dividends, and volatility with the volatility feedback effect in continuous-time. Within our framework, we consider the properties of stock price and its dynamics with...