Chorro, C.; Guégan, D.; Ielpo, F. - In: Finance Research Letters 7 (2010) 1, pp. 24-28
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...
