Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency‐Based Performance Metric

Choice of the performance metric is a crucial part of empirical assessment of option pricing model performance and benchmarking, mainly because the outcome is subject to change based on the metric. Usage of performance metrics in the empirical option pricing literature is examined and their agreemen...

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Veröffentlicht in:	Wilmott (London, England) England), 2017-11, Vol.2017 (92), p.44-57
Hauptverfasser:	Orbay, Berk, Güllü, Refık, Hörmann, Wolfgang
Format:	Artikel
Sprache:	eng
Schlagworte:	Business metrics Financial performance Market economies market efficiency option pricing Options trading Payoffs pricing error Pricing policies
Online-Zugang:	Volltext
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