Höcht, Stephan; Madan, Dilip B.; Schoutens, Wim; … - In: Risks 9 (2021) 11, pp. 1-19
- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma pricing … model to jointly estimate the physical and pricing measure from option prices. We illustrate the proposed pricing strategy …