The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that … the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more …

We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when …

equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an asset's shock …

the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary …