We provide a new method to derive the state price density per unit probability based on option prices and GARCH model … dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

by Brownian motion, an associated "master equation" for the dynamics of the conditional probability density is derived … functional modulo sufficient parametric freedom to allow for the input of additional option data apart from that implicit in the …

the market. collateral requirements, funding costs, volatility smile, option pricing … propose a model that gives upper and lower bounds for option prices in the absence of arbitrage in an incomplete market with … differential borrowing and lending rates. We show that funding costs and margin requirements cause a substantial increase in option …

that explicitly takes into account the value of the option to default (or abandon the fi rm). We show that anomalies exist …

from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading …

the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility … time deposits expected volatility, based on the fair value of the contracts expressed in terms of option prices. We follow …

deposits such as the Eurodollar. Pricing time deposit volatility in a model-free manner is a delicate issue because the …-free indexes of time deposit expected volatility, based on the fair value of the contracts expressed in terms of option prices. We …