our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …

pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …

from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading …

information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental … theorems of asset pricing. While inferring the risk-neutral measure from options data provides a naturally forward- looking … nullsets thus distorting the investor's risk premium. It follows that the relative empirical pricing kernel is no longer a true …