DocumentCode
518756
Title
Notice of Violation of IEEE Publication Principles
Empirical martingale method of option pricing
Author
Xu, Yeyou
Author_Institution
Res. Center of Financial Eng., South China Univ. of Technol., Guangzhou, China
Volume
4
fYear
2010
fDate
27-29 March 2010
Firstpage
99
Lastpage
102
Abstract
Notice of Violation of IEEE Publication Principles
"Empirical Martingale Method of Option Pricing"
by Yeyou Xu
in the 2010 2nd International Conference on Advanced Computer Control (ICACC), 2010, 99 – 102.
After careful and considered review of the content and authorship of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE\´s Publication Principles.
This paper contains significant portions of original text from the paper cited below. The original text was copied with insufficient attribution (including appropriate references to the original author(s) and/or paper title) and without permission.
Due to the nature of this violation, reasonable effort should be made to remove all past references to this paper, and future references should be made to the following article:
"Martingalized historical approach for option pricing"
by C. Chorro, D. Guegan, F. Ielpo
in the Finance Research Letter Vol. 7, 2010, 24 – 28.
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.
"Empirical Martingale Method of Option Pricing"
by Yeyou Xu
in the 2010 2nd International Conference on Advanced Computer Control (ICACC), 2010, 99 – 102.
After careful and considered review of the content and authorship of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE\´s Publication Principles.
This paper contains significant portions of original text from the paper cited below. The original text was copied with insufficient attribution (including appropriate references to the original author(s) and/or paper title) and without permission.
Due to the nature of this violation, reasonable effort should be made to remove all past references to this paper, and future references should be made to the following article:
"Martingalized historical approach for option pricing"
by C. Chorro, D. Guegan, F. Ielpo
in the Finance Research Letter Vol. 7, 2010, 24 – 28.
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.
Keywords
pricing; share prices; stochastic processes; S&P500 index options; affine stochastic discount factor; discrete time option pricing framework; empirical martingale correction methodologies; higher order moment correction; option pricing errors reduction; Density functional theory; Electromagnetic compatibility; Error correction; Pricing; Random variables; Shape control; Stochastic processes; Technological innovation; Time measurement; Yttrium; Generalized Hyperbolic Distribution; Incomplete market; Martingale Correction; Option pricing; Stochastic Discount Factor;
fLanguage
English
Publisher
ieee
Conference_Titel
Advanced Computer Control (ICACC), 2010 2nd International Conference on
Conference_Location
Shenyang
Print_ISBN
978-1-4244-5845-5
Type
conf
DOI
10.1109/ICACC.2010.5486915
Filename
5486915
Link To Document