This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes … towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical … conditions option pricing formulas are not preference-free, in other words when preferences are not hidden in the stock and bond …

asset pricing framework. …

This assesses the empirical performance of an intertemporal option pricing model with latent variables with generalized …

asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent …

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which … implicit parameters and forecast next day S&P 500 option prices, we obtain smaller pricing errors than with implied volatility …