Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of … implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing … known as volatility smiles or smirks that contradict the assumption of constant volatility in the BS pricing model. On the …

theory enforces that the utility function is concave or equivalently, that investors are risk averse. Equilibrium and non … 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 …

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

risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for pricing baskets of …