of the option. The underlying asset used in our analyses is the share of Compa SA. Through Monte Carlo simulations …, scenarios are created on the random evolution of the underlying asset, and the valuation of the option on the underlying asset …

; coherent market hypothesis ; market polarization ; option pricing ; overreaction ; chaotic market ; repelling market … 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 …

, particularly. -- Implied tree models ; implied olatility ; local volatility ; option pricing …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 …

Transform method of call option pricing developed in [6]. It is intended to compare the reviewed estimation methods empirically …This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the … neutral density function via Fourier methods. For every of the reviewed methods the calculation of option prices under …

We provide a new method to derive the state price density per unit probability based on option prices and GARCH model … dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

the statistical moments of these option-implied probability density functions are documented until April 2010. Particular … financial crisis between 2007 and 2009. In doing so, it shows how option-implied probability density functions could be used to …

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on …

by Brownian motion, an associated "master equation" for the dynamics of the conditional probability density is derived … functional modulo sufficient parametric freedom to allow for the input of additional option data apart from that implicit in the …