option prices in the presence of stochastic volatility, demand pressure and short-selling constraints. -- Competitive …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

distribution was found. The implied volatility dependencies for the equilibrium conditions and with predicted utility and liquidity …

log-returns and their volatility with the aim of analysing which risk factors and which distribution features provide a …-returns and volatility offer the best trade-off between model performance and parsimony …

We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset …-arbitrage bounds. In mathematical terms, it demands however that not just ambiguities about the volatility but also about the drift …

We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by … stochastic volatility model and Distributionally Robust Optimization. Significant pricing errors appear if the Stochastic …-of-the-money volatility index puts appears particularly appealing to pure market risk averters. The evidence against option market efficiency …