Pricing of Index Options in Incomplete Markets - Online Appendix Caio Almeida * Gustavo Freire †‡ April 28, 2021 Abstract In Section 1 of this Online Appendix, we discuss in detail the estimation of minimum dispersion risk-neutral measures. Section 2 collects theoretical results and proofs that are not shown in the main paper. In Section 3, we report additional empirical results on the pricing of S&P 500 options given the underlying returns. Section 4 presents results for a robustness analysis. * E-mail: calmeida@princeton.edu, Department of Economics, Princeton University, USA. † E-mail: gustavo.freire@fgv.br, EESP S˜ ao Paulo School of Economics, S˜ ao Paulo, Brazil. ‡ E-mail: gustavo.carvalho@fgvmail.br, EPGE Brazilian School of Economics and Finance, Rio de Janeiro, Brazil.