applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

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 …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which … implicit parameters and forecast next day S&P 500 option prices, we obtain smaller pricing errors than with implied volatility …

This paper presents a comparison of alternative option pricing models based either on jump-diffusion nor stochastic … the net buying pressure characterizing option markets. …