This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …

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

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 …

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

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 …

Three years after the seminal work of Black and Scholes [3] on the pricing of European options,Scholes [18] presented a … influenceof a tax system on a given contract specification. The limit results lead to a pricing formulain closed form suggesting a … used as a base for pricing of complex options under taxation. …