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A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances
Chorro, Christophe; Guegan, Dominique; Ielpo, Florian
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Description for A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances
hardcover. A Time Series Approach to Option Pricing Num Pages: 204 pages, 30 black & white illustrations, 1 colour illustrations, 22 black & white tables, biograph. BIC Classification: KCBM; KFF; PBT. Category: (P) Professional & Vocational. Dimension: 235 x 155 x 13. Weight in Grams: 473.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2014
Publisher
Springer Germany
Number of pages
204
Condition
New
Number of Pages
188
Place of Publication
Berlin, Germany
ISBN
9783662450369
SKU
V9783662450369
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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