risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so …

option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: 1. Pricing savings plans which incorporate a … choice of linkage. 2. Pricing convertible bonds. 3. Pricing employee stock ownership plans 4. Pricing options where the …

In this paper we discuss the significant computational simplification that occurs when option pricing is approached … additional option pricing problems within the framework of a change of numeraire: <p> 1. Pricing savings plans which incorporate … a choice of linkage. <p> 2. Pricing convertible bonds. <p> 3. Pricing employee stock ownership plans <p> 4. Pricing …

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …

overcome the highlighted liquidity issues, we propose first to test the generaliza- tion of Gray and Whaley (1999) reset option … introduced by François-Heude and Yousfi (2013). The main idea is to reset the strike price PXA option to a new strike price given …

show that demand-pressure effects contribute to well-known option-pricing puzzles. Indeed, time-series tests show that … pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the … option. Similarly, the demand pressure increases the price of any other option by an amount proportional to the covariance of …

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …

The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …