; 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 …

for option pricing and show that the information content of skewness leads to improved in-sample and out-of-sample pricing … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … and does not offer sufficient flexibility to match the skewness and kurtosis implicit in option data. Finally, we document …

pricing procedure based on the Gaussian distribution. -- CDO ; CDS ; multivariate distributions ; Copulae ; correlation smile …

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