In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on …

value of the parameter is ascribed. Our approach outperforms the standard market pricing procedure based on the Gaussian …

pricing procedure based on the Gaussian distribution. …

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for …

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions … process. In addition, we apply the IBT to EUREX option prices and compare the estimated SPDs. Both IBT methods coincide well …

return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and …

A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing …, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the … other approaches, we show that the traditional way of estimating the SPD by differ- entiating an interpolation of option …

Transform method of call option pricing developed in [6]. It is intended to compare the reviewed estimation methods empirically. …This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the … neutral density function via Fourier methods. For every of the reviewed methods the calculation of option prices under …