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.
|Date of creation:||Apr 2009|
|Publication status:||Published in Documents de travail du Centre d'Economie de la Sorbonne 2009.21 - ISSN : 1955-611X. 2009|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00376756|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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