García-Alonso, Marco M.; Moreno, Manuel; Navas, Javier F. - In: Derivative securities pricing and modelling, (pp. 227-257). 2012
This chapter analyzes the empirical performance of alternative option pricing models using Black and Scholes (1973) as a benchmark. Specifically, we consider the Heston (1993) and Corrado and Su (1996) models and price call options on the S&P 500 index over the period from November 2010 to April...
