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Forward Volatility Dynamics in Stochastic Volatility Models Driven by a Gamma Process
SSRN Electronic Journal, 2018Pricing models within the Black-Scholes framework assume that the volatility of the underlying security remains constant over the life of the derivative, which cannot explain long-observed characteristics of the implied volatility surface such as volatility smile and skew.
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Irregularities in forward-looking volatility
The Quarterly Review of Economics and Finance, 2022Mahmoud Qadan, Doron Nisani, Ron Eichel
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RECOVERING LOCAL VOLATILITY FUNCTIONS OF FORWARD LIBOR RATES [PDF]
, 2000 It is commonly observed in the market that implied volatilities of standard European options vary with strike levels and expiration dates. The former is usually referred to as volatility skew and the later is volatility term structure. The idea of implied pricing is to recover the dynamics of the underlying asset from market prices of liquid options ...
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Better to give than to receive: Predictive directional measurement of volatility spillovers
International Journal of Forecasting, 2012Kamil Yilmaz
exaly
The Cross-Section of Volatility and Expected Returns
Journal of Finance, 2006Andrew Ang +2 more
exaly
High idiosyncratic volatility and low returns: International and further U.S. evidence
Journal of Financial Economics, 2009Robert J Hodrick +2 more
exaly
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Journal of Finance, 2015Robert F Stambaugh, Jianfeng Yu, Yu Yuan
exaly