In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is "closest" to the physical probability measure P, where...

For an arbitrage-free market with a single underlying asset, we investigate conditions under which the consecutive price levels are comonotonic. Furthermore, for an arbitrage-free market with n assets we investigate the consequences of assuming comonotonicity of the vector containing the price...

We document the asset-pricing implications of the model-free option-implied dependence (MFID); a measure that exhibits information on linear and non-linear dependence between random variables. We show that stocks with high exposure to MFID generate significantly higher risk-adjusted returns in...