return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and …

. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

We study the pricing of contracts in fixed income markets in the presence of volatility uncertainty. We consider an … arbitrage-free bond market under volatility uncertainty. The uncertainty about the volatility is modeled by a G-Brownian motion … obtain a sublinear pricing measure for additional contracts. Similar to the forward measure approach, we define a forward …

We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options-pricing …

returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and …

Positive option-implied risk-neutral skewness (RNS) predicts next-month abnormal underlying stock returns driven by …

This paper investigates international index return predictability using daily-updated option-implied information in …