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

value of the parameter isascribed. Our approach outperforms the standard market pricing procedure basedon the Gaussian …

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 …

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 conrmed deviations from the Black and Scholes (BS) models assumptions, especially …. In addition, we apply the IBT to EUREX option prices and compare the estimated SPDs. Both IBT methods coincide well with …

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

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 …

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 …