Empirical Martingale Method of Option Pricing

摘要：

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 dataset of S&P500 index options, 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.

关键词： Generalized Hyperbolic Distribution Option pricing Incomplete market Stochastic Discount Factor Martingale Correction

作者: Yeyou Xu

作者单位: Research Center of Financial Engineering South China University of Technology Guangzhou China

会议类型: 国际会议

会议名称: The 2nd IEEE International Conference on Advanced Computer Control(第二届先进计算机控制国际会议 ICACC 2010)

会议地点: 沈阳

会议语种:英文

页码: 99-102

在线出版日期: 2010-03-27（万方平台首次上网日期，不代表论文的发表时间）