Part I proposes a numeraire-invariant option pricing framework. It defines an option, its price process, and such … established in general. The american option is then defined, and its pricing formula (for all times) is presented. Applying a … notions as option indistinguishability and equivalence, domination, payoff process, trigger option, and semipositive option …

This paper provides a review of the main features of asset pricing models. The review includes single-factor and … multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models …

probability of zero or negative earnings. By avoiding the singularity at the zero point, our earnings-based pricing model achieves … improved pricing performance. The out-of-sample pricing performance of Generalized Earnings Valuation Model (GEVM) and the … Bakshi and Chen (2001) pricing model are compared on four stocks and two indices. The generalized model has smaller pricing …

pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation … of the actual market factor, the market factor’s diffusion following a geometric Brownian motion. All the assumptions …

In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option … prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices …

currency prices and biases in Black­Scholes option prices decline with maturity. …