along with the specification of (a) the initial density, and (b) the volatility structure of the density. The volatility … 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 …

option prices on both markets. We find that including VIX option prices in the model estimation allows better identification … of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed … financial returns. The expansion coefficients can be calibrated from observed option prices and can also be computed, for … the properties of the new option pricing model by calibrating it to both real-world and simulated option prices and find …

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …

volatility and jumps instead of the Black-Scholes-Merton benchmark cuts by a quarter the amount lost by investors through …

We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating … that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be … about 0.3% per month. All three components of ESG contribute to option pricing. We find that investors pay the ESG premium …

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas … for prices and hedging strategies in terms of the security's cash gamma …