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- handle: 10670/1.18dgz2
- halshs: halshs-00437927
- doi: 10.1016/j.frl.2009.11.002
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.frl.2009.11.002
info:eu-repo/semantics/OpenAccess
Mots-clés
Generalized Hyperbolic Distribution Option pricing Incomplete market CAC40 Stochastic Discount Factor Martingale Correction G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and Simulation C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling C - Mathematical and Quantitative Methods/C.C8 - Data Collection and Data Estimation Methodology • Computer ProgramsSujets proches
Price policy, Industrial Retail pricing Price policyCiter ce document
Christophe Chorro et al., « Martingalized Historical approach for Option Pricing », HAL-SHS : économie et finance, ID : 10.1016/j.frl.2009.11.002
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Résumé
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) 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. This paper puts into evidence the fact that an appropriate modelling under the historical measure associated with an adequate correction (that we call here a ”martingale correction”) permits to provide option prices which are close to market ones.