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A time series approach to option pri...

Chorro, Christophe.

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A time series approach to option pricing = models, methods and empirical performances /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A time series approach to option pricing/ by Christophe Chorro, Dominique Guegan, Florian Ielpo.
其他題名:	models, methods and empirical performances /
作者:	Chorro, Christophe.
其他作者:	Guegan, Dominique.
出版者:	Berlin, Heidelberg :Springer Berlin Heidelberg : : 2015.,
面頁冊數:	xvi, 188 p. :ill., digital ;24 cm.
內容註:	Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.
Contained By:	Springer eBooks
標題:	Options (Finance) - Mathematical models. -
電子資源:	http://dx.doi.org/10.1007/978-3-662-45037-6
ISBN:	9783662450376 (electronic bk.)

A time series approach to option pricing = models, methods and empirical performances /
Chorro, Christophe.

A time series approach to option pricingmodels, methods and empirical performances /[electronic resource] :by Christophe Chorro, Dominique Guegan, Florian Ielpo. - Berlin, Heidelberg :Springer Berlin Heidelberg :2015. - xvi, 188 p. :ill., digital ;24 cm.

Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.

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.

ISBN: 9783662450376 (electronic bk.)

Standard No.: 10.1007/978-3-662-45037-6doiSubjects--Topical Terms:

647825
Options (Finance)
--Mathematical models.

LC Class. No.: HG6024 / .C46 2015

Dewey Class. No.: 332.6453

A time series approach to option pricing = models, methods and empirical performances /
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520 $a 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.
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