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 …

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …

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 …

absorbed by mortgage lenders by valuing the embedded put-option in non-recourse mortgages. Our simulations generate loss …