A new method to retrieve the risk-neutral probability measure from observed option prices is developed and a closed … financial returns. The expansion coefficients can be calibrated from observed option prices and can also be computed, for … the properties of the new option pricing model by calibrating it to both real-world and simulated option prices and find …

We study a new class of three-factor affine option pricing models with interdependent volatility dynamics and a … largely unrelated to the volatility dynamics. We estimate our models using about fourteen years of S&P 500 index option data …-related dynamics of index option smiles …

In reaction to the well-known stylized facts observed in market data for stocks and options, a multitude of option … construction outperform the BS model in terms of fitting observed option prices, there is only little knowledge on which models are … this gap, we conduct a comprehensive empirical comparison of a wide range of option pricing models based on time …

pricing error increases with index returns. The unrestricted model has significantly less option pricing bias for calls than … the restricted model. The option pricing error for calls in the restricted model has much larger negative bias near the … puts. Finally, the option pricing errors are significantly affected by moneyness and time to expiration for all cases; this …

-diffusion model and then use it to approximate European basket option values. If the local volatility function is time independent …

We consider an option pricing model proposed by, where the implementation of dynamic hedging strategies has a feedback …

examines their impact on this index's rate of return and volatility. It focuses on deriving analytic European option prices …