Martingalized Historical approach for Option Pricing

In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor and the empirical martingale correction methodologies. Using a CAC 40 options dataset, the differences are found to be small : the higher order moment correction involved in the SDF approach may not be that essential to reduce option pricing errors.

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Year of publication:	2009-04
Authors:	Chorro, Christophe ; Guegan, Dominique ; Ielpo, Florian
Institutions:	HAL
Subject:	Generalized hyperbolic distribution \| option pricing \| incomplete market \| CAC 40 \| Stochastic Discount Factor \| martingale correction

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00376756
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738694