, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …

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. …

. Originally developed by Cox, Ross, and Rubinsteinto clarify the basic pricing principle of its continuous-time counterpart with …

In the past decades several versions of the binomial model for option pricing, originallyintroduced by COX, ROSS, AND … probabilities may be useful for pricing derivatives such asbarrier options. A simple example is presented to illustrate this idea. …

In this paper we first show that the gains achievable by integrating pricing and inventory controlare usually small for … analytical results forthis more complex model. We thus conclude that integrated pricing/inventory models could repeat thesuccess …

determined independently to simultaneous decisionmaking. Constant and dynamic pricing are distinguished. We derive structural … properties and developalgorithms that determine the optimal pricing and replenishment policy and show how quantitydiscounts not … only influence the purchasing strategy but also the pricing policy. A sensitivity analysisindicates the impact of the fixed …

by the pricing kernel (PK). In this paper we investigate pricing kernels from DAX and ODAX data in a time varying … approach and consider their term structure. In order to approximate and analyse the complex dynamic structure from pricing … investors preferences is investigated through sensitivity analysis with respect to the basis functions. In the sequel pricing …

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