Martingalized Historical approach for Option Pricing
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Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00376756
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Other versions of this item:
- Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Martingalized Historical approach for Option Pricing," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00437927, HAL.
References listed on IDEAS
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- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008.
"Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology,"
Documents de travail du Centre d'Economie de la Sorbonne
b08037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
- Robert J. Elliott & Dilip B. Madan, 1998. "A Discrete Time Equivalent Martingale Measure," Mathematical Finance, Wiley Blackwell, vol. 8(2), pages 127-152, April.
- Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
- Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results," Documents de travail du Centre d'Economie de la Sorbonne b08047, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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Cited by:
- Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013.
"Option pricing with discrete time jump processes,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 37(12), pages 2417-2445.
- Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2013. "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964950, HAL.
- Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00611706, HAL.
- Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
- Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018.
"Testing for leverage effects in the returns of US equities,"
Journal of Empirical Finance,
Elsevier, vol. 48(C), pages 290-306.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2018. "Testing for leverage effects in the returns of US equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01917590, HAL.
- Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
- Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
- repec:hal:journl:halshs-00523371 is not listed on IDEAS
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
- Marius-Cristian Frunza & Dominique Guegan, 2010. "Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market," Post-Print halshs-00504209, HAL.
- Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
More about this item
Keywords
martingale correction; Generalized hyperbolic distribution; option pricing; incomplete market; CAC 40; Stochastic Discount Factor; martingale correction.; Distribution hyperbolique généralisée; pricing; options; marchés incomplets; martingalisation.;JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2009-04-25 (Financial Markets)
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