The Marketron model is extended to option pricing via utility indifference and a fast numerical solver, but the calibrated model fails to jointly reproduce option prices and underlying log-return volatility.
(A.9) and the integrals of the source term in Appendix A.2
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Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
The Marketron model is extended to option pricing via utility indifference and a fast numerical solver, but the calibrated model fails to jointly reproduce option prices and underlying log-return volatility.