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

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 …

Divergence in investor beliefs is an important driver of the negative relation between option trading volume and future … stock returns. We find a strong negative relation between disagreement-based option trades and future stock returns, and …-based option volume on returns on mispriced stocks concentrates in highly levered options and when it is costly to short the stocks …

Our study explores whether the disposition effect occurs in U.S. equity option markets. The disposition effect implies …'s [2005] unrealized capital gains proxy to the option markets, we document a significant relationship between option capital … gains overhang (OCGO) and option returns. We also find open interest decreases as OCGO increases, consistent with a …

asset pricing framework. We derive option pricing formulas when asset returns are altered by a generalized Prospect Theory … the corresponding option pricing formulas when asset returns follow continuous diffusions or discrete binomial trees. We … define mixed subordinated variance gamma process to model asset return and derive the corresponding option pricing formula …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …