Martingalized historical approach for option pricing.
Year of publication: |
2009-04
|
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Authors: | Chorro, Christophe ; Guegan, Dominique ; Ielpo, Florian |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Generalized hyperbolic distribution | option pricing | incomplete market | CAC 40 | stochastic discount factor | martingale correction |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Notes: | 7 pages |
Classification: | G1 - General Financial Markets ; C5 - Econometric Modeling |
Source: |
-
Martingalized Historical approach for Option Pricing
Chorro, Christophe, (2009)
-
Option pricing with discrete time jump processes.
Guegan, Dominique, (2011)
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Martingalized Historical approach for Option Pricing
Chorro, Christophe, (2010)
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Testing for Leverage Effect in Financial Returns.
Chorro, Christophe, (2014)
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Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology.
Chorro, Christophe, (2008)
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Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results.
Chorro, Christophe, (2008)
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