Risk preference functions across the wealth domain are estimated from option prices and asset realized returns using: (a) a semiparametric probability model, the Edgeworth Series Expansion model, and (b) a new data set consisting of eurodollar and WTI oil markets' data. The empirical preference...

This article develops a new methodology for estimating implied probability density functions for futures prices from American options. The restricting Black–Scholes assumption of a lognormal distribution for the underlying asset is relaxed with the use of the more flexible distributional form...

This study proposes the use of a simplified jump process, namely the Bernoulli jump process, to develop approximate basket option valuation formulas. The proposed model is based on a more realistic stochastic process—relative to the standard geometric Brownian motion—without introducing...