We provide results for the valuation of European-style contingent claims for a large class of
specifications of the underlying asset returns. Our valuation results obtain in a discrete time …

We introduce a novel class of term structure models for variance swaps. The multivariate
state process is characterized by a quadratic diffusion function. The variance swap curve is …

This article evaluates the impact of the 2006 compliance event on changes in investors' risk
aversion on the European carbon market using the newly available option prices dataset …

We survey the theory and empirical evidence on GARCH option valuation models. Our
treatment includes the range of functional forms available for the volatility dynamic …

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 …

Evidence shows that the stochastic discount factor (SDF) is not always a downward-sloping
function of S&P 500 returns when estimated using options data. In contrast, our results …

This paper investigates the pricing and weak convergence of an asymmetric non-affine, non-
Gaussian GARCH model when the risk neutralization is based on a variance-dependent …

Climate change poses new risks for real estate assets. Given that the majority of home
buyers use a loan to pay for their homes and the majority of these loans are purchased by …

Under discrete-time GARCH models markets are incomplete so there is more than one price
kernel for valuing contingent claims. This motivates the quest for selecting an appropriate …

We combine two approaches to the pricing kernel, one empirical and one theoretical, which
relax the restriction that the objective return distribution and risk neutral distribution share the …