-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of … volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns …

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 …

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 …

In informationally efficient financial markets, option prices and this implied volatility should immediately be … volatility would indicate market inefficiency. Using minute-by-minute data on S&P 500 index options, we provide evidence … regarding delayed and gradual movements in implied volatility after the arrival of return jumps. These movements are directed …

dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general …. Further, the model generates a steep shift in the implied volatility 'smirk' for S&P 500 options after the 1987 crash. This … integrated. -- Volatility Smile ; Volatility Smirk ; Implied Volatility ; Option Pricing ; Portfolio Insurance ; Market Risk …

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 …

This paper implements an algorithm that can be used to solve systems of Black-Scholes equations for implied volatility … for implied volatility and implied risk-free rate, the options are re-priced using these parameters in the Black … risk-free rate model is better for predicting future evolutions in model-free implied volatility as measured by the VIX …

factors such as jump and volatility risks, short-sale constraints, and stock lottery characteristics. It is also inconsistent …