Abstract In 1993, the Chicago Board of Options Exchange (CBOE) introduced the CBOE
Volatility Index. This index has become the de facto benchmark for stock market volatility. On …

Yet that weakness is also its greatest strength. People like the model because they can
easily understand its assumptions. The model is often good as a? rst approximation, and if …

Purpose The purpose of this paper is to investigate the role of volatility risk on stock return
predictability specified on two global financial crises: the dot-com bubble and recent …

We propose a direct and robust method for quantifying the variance risk premium on
financial assets. We theoretically and numerically show that the risk-neutral expected value …

This paper examines the relationship between the volatility implied in option prices and the
subsequently realized volatility by using the S&P/ASX 200 index options (XJO) traded on the …

This study examines the information content of implied volatility, using the options of the
underlying S&P CNX Nifty index. In this study, implied, historical and realized volatilities are …

We study distributions of realized variance (squared realized volatility) and squared implied
volatility, as represented by VIX and VXO indices. We find that generalized beta distribution …

This thesis presents our study on using the hybrid stochastic-local volatility model for option
pricing. Many researchers have demonstrated that stochastic volatility models cannot …

Traditionally, the volatility of daily returns in financial markets is modeled autoregressively
using a time-series of lagged information. These autoregressive models exploit stylised …

This paper focuses on volatility of financial markets, which is one of the most important
issues in finance, especially with regard to modeling high-frequency data. Risk …