Chen, Ren-Raw; Palmon, Oded - In: Review of Quantitative Finance and Accounting 24 (2005) 2, pp. 115-134
In this paper, we propose an empirically-based, non-parametric option pricing model to evaluate S&P 500 index options. Given the fact that the model is derived under the real measure, an equilibrium asset pricing model, instead of no-arbitrage, must be assumed. Using the histogram of past S&P...
