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 …

-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible …

developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound …

. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …