This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

well approximated by the value of a particular portfolio of options. Ignoring the small approximation error, the difference … options data set, we synthesize variance swap rates and investigate the historical behavior of variance risk premia on five …

extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which … volatility model for a given degree of moneyness are given. Copyright Springer-Verlag Berlin/Heidelberg 2004 …

We are concerned with the valuation of European options in Heston's stochastic volatility model with correlation. Based … on Mellin transforms we present new closed-form solutions for the price of European options and hedging parameters. In …

pricing European options. Thirdly and finally, we numerically compare all Euler fixes to a recent quasi-second order scheme of …

pricing European options. Thirdly and finally, we numerically compare all Euler fixes to a recent quasi-second order scheme of …