In this paper, we provide a new dynamic asset pricing model for plain vanilla options on equity option indexes. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic innovations and the pricing kernel is an exponential affine function...

In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by GARCH-type models with generalized hyperbolic...

In this paper we propose new option pricing models based on two classes of discrete Lévy-type processes. By combining these Lévy processes with several volatility dynamics of the GARCH type, we aim to take into account the dynamics of financial returns in a realistic way. The associated risk...

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

In this paper, we present a new stylized fact for options whose underlying asset is a stock index. Extracting implied volatility time series from call and put options on the DAX and FTSE indexes, we show that the persistence of these volatilities depends on the moneyness of the options used for...