It is a well known from the empirical option pricing literature, that actual option prices show persistent and systematic deviations from theoretical values under standard pricing assumptions. While a substantial number of enhancements have been proposed, these approaches typically leave...

It is a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial number of enhancements have been proposed in the literature, these approaches typically leave investors’ preferences towards risk...