We present a new option-pricing model, which explicitly captures the difference in the persistence of volatility under … historical and risk-neutral probabilities. The model also allows to capture the empirical properties of pricing kernels, such as …

predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

This paper proposes a novel way of pricing S&P500 index options in the presence of jump risk. Our analysis is built … upon an equilibrium option pricing rule for a representative agent economy. In particular, we use the weighted utility …

. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

This paper studies the problem of pricing and trading of defaultable claims among investors with heterogeneous risk … preferences and market views. Based on the utility-indifference pricing methodology, we construct the bid-ask spreads for risk … buyer's optimal static trading position under various market settings, including (i) when the market pricing rule is linear …