A Time Series Approach to Option Pricing

Models, Methods and Empirical Performances

Business & Finance, Economics, Macroeconomics, Finance & Investing, Finance
Cover of the book A Time Series Approach to Option Pricing by Christophe Chorro, Dominique Guégan, Florian Ielpo, Springer Berlin Heidelberg
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Christophe Chorro, Dominique Guégan, Florian Ielpo ISBN: 9783662450376
Publisher: Springer Berlin Heidelberg Publication: December 4, 2014
Imprint: Springer Language: English
Author: Christophe Chorro, Dominique Guégan, Florian Ielpo
ISBN: 9783662450376
Publisher: Springer Berlin Heidelberg
Publication: December 4, 2014
Imprint: Springer
Language: English

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.

More books from Springer Berlin Heidelberg

Cover of the book Polarization Bremsstrahlung on Atoms, Plasmas, Nanostructures and Solids by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Integriertes Roadmapping by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Legislative Delegation by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Hybrid Latex Particles by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Essays on Economic Psychology by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Bryce DeWitt's Lectures on Gravitation by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Finanzierung: Anleihen, Aktien, Optionen by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Hypertrophic Reservoirs for Wastewater Storage and Reuse by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Geology of Hungary by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Low-carbon City and New-type Urbanization by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Histological Typing of Testis Tumours by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Classical Mechanics by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book The Software Industry by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book NMR Spectroscopy of Polymers by Christophe Chorro, Dominique Guégan, Florian Ielpo
Cover of the book Aerosol-Cloud Interactions from Urban, Regional, to Global Scales by Christophe Chorro, Dominique Guégan, Florian Ielpo
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy