In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a nominal financial structure with possibly long-term assets. We exhibit a sufficient condition under which the payoff matrix and the full payoff matrix have the same rank....

This paper shows that it is possible to extend the scope of the existence of rational bubbles when uncertainty is introduced associated with rank-dependent expected utility. This RDU assumption can be viewed as a transformation of probabilities depending on the pessimism/optimism of the agent....

In this paper, we provide exact formulas for the pricing of European options under the risk neutral measure, whereas under the historic measure the data follow two types of models : a GARCH process with Lévy innovations, or a GARCH process with Poisson jumps. This approach aims to take...

In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)). By combining these different class of models with several volatility dynamics of the GARCH type,...

Two financial structures are equivalent if, for each given state price, the images of their full payoff matrices of these financial structures are equal. The main consequence of this definition is that, regardless of the standard exchange economy ?, the existence of a financial equilibrium in an...

We consider a stochastic financial exchange economy with a finite date-event tree representing time and uncertainty and a financial structure with possibly long-term assets. We exhibit a sufficient condition under which the set of marketable payoffs depends continuously on the arbitrage free...

This paper generalizes the Bollerslev and Zhang (2003) approach for the estimation of loadings of asset pricing models using "realized" measures and co-measures of risk. We propose here to extend this approach by including higher-moments in asset pricing models. Estimations are conducted using...

In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small : the higher...

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk averse variational preferences. A sufficient condition for existence of efficient allocations is that the relative interiors of the risk adjusted sets of expectations overlap. This...