Decision-Theoretic Calibration of Option Pricing Models

Author:

Gudmundsson Hilmar,Vyncke David

Publisher

Elsevier BV

Reference23 articles.

1. D denote the set of all options for trading day d, where D is the nal day (i.e. 31st of December 2013), in our sample with nonzero trading volume. Furthermore, for each G d let M d,j ? G d denote the set of the 10 puts and 10 calls with the highest trading volume with maturity m j , where the maturities are indexed here by j = 1, . . . , J in such a way that if j < j then m j < m j . Also, let K d,j ? M d,j be the set of 5 puts and 5 calls in M d,j that are closest to being at-the-money. Lastly, dene the Cartesian product H d := ? J j=1 M d,j , and let Dim(H d ) := J, be the number of dierent maturities present in H d . The intertemporal test can then be described in the following way;, .;sample options. The remainder of the options served as out-of-sample options. We used the same probability distortion values as are given in table 2 in section 5.3

2. Advances in Consumption-Based Asset Pricing: Empirical Tests

3. Indifference Pricing

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