liabilities. Journal of Political Economy 81, 637–659] and Merton [Merton, R. (1973). Theory of rational option pricing. Bell … Journal of Economics and Management Science 4, 141–184] option pricing theory is that there exists a self-financing dynamic … renders the risk-neutral probability measure non unique and allows us to determine the option price only within a range …

progress. The research concerns the recovery of market-wide risk-neutral probabilities and risk aversion from option prices … independently estimate risk-neutral probabilities, taking advantage of the now highly liquid index option market. We show that, if … provide an empirical test of implied trees against alternative option pricing models (including “naïve trader” approaches) by …

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …