We examine how the implied volatility in the US financial market has been affected by the
COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) …

By analyzing the characteristics of Cboe's volatility-of-volatility (vol-of-vol) index (VVIX), this
study reveals that most but not all stylized facts of volatility are also applicable to the vol-of …

Efficiently exploiting the volatility information contained in price variations is important for
pricing options and other derivatives. In this study, we develop a new and flexible option …

This study examines the implied volatility (IV) curve and its determinants in the newly
established Chinese crude oil options market. Given China's significant role as a crude oil …

The paper represents an initial effort to unfold some of the determinants of the implied
volatility skew empirically observed in financial (derivative) markets. In particular, in a …

This paper derives a theoretical relation between the left and right slopes of the implied
volatility curve with negative and positive price jumps. Empirical analysis using bitcoin …

In this paper, we study the pattern of S&P 500 index options implied volatility (IV) curves and
their predictive ability for the variance risk premium (VRP). We explore this predictability …

We introduce a new multifactor stochastic volatility model with non-affine features for the
Chinese options market. Our model generalizes the double Heston model in Christoffersen …

The financial systems, and particularly stock markets are complex systems. In this study, we
investigate the evidence of chaotic dynamics of both BIST-100 stock market index and S&P …

Abstract Kang et al.(2020) find cross-sectional evidence that short-and long-term variation of
position changes are driven by liquidity demand of noncommercials and hedging demands …