We explore the implications of ambiguity for the pricing of credit default swaps (CDSs). A
model of heterogeneous investors with independent preferences for ambiguity and risk …

The options smile provides forward‐looking information about the risk at the center of the
distribution (ATM‐IV) and at the tails (Skew). We investigate the cross‐sectional …

The anomalous negative relationship between left‐tail risk measures and future returns has
recently attracted the attention of finance researchers. We examine the role of the derivatives …

This research delves into the empirical performance of deterministic option pricing models in
the dynamic financial landscape of India. The primary focus is on uncovering pricing …

We examine empirically, the suitability of three stock price models viz: geometric Brownian
motion, symmetric and asymmetric jump-diffusion models, on the empirical log-returns of the …

This paper presents a new method with which to assess default risk based on applying the
constant elasticity of variance (CEV) process to the Kealhofer–McQuown–Vasicek (KMV) …

We show that traditional measures of curvature and symmetry of the “smiles” improve
volatility predictions in forex markets. We consider post crisis data at a daily basis for seven …

This paper presents a new method to assess default risk based on applying the CEV
process to the KMV model. We find that the volatility of the firm asset value may not be a …

Friesen et al. demonstrate that investor heterogeneous beliefs affect option prices and
explain the risk neutral skewness. Following their study, this paper examines the cross …

We extract volatility and skewness from VIX options, namely VVIX and VSKEW, via a model-
free methodology, and find that they show significant predictability in relation to market …