Chorro, Christophe; Guegan, Dominique; Ielpo, Florian - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books. Given the historical measure, the dynamics of assets are modeled by Garch-type models with generalized hyperbolic...
