This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for … ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model …

; 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 …

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 …

derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset-pricing …-bearing capacity have particularly strong forecasting power for energy returns, both in sample and out of sample. -- Asset pricing …

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 …