models, and we provide a feasible way to price options in this framework. Our framework can be used irrespective of the … options on the minimum of two indices. Our results show that not only is correlation important for these options but so is …

, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant … negative skewness and time varying higher order moments of the risk neutral distribution. Parameter inference using Gibbs …. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared to a benchmark …