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A time series approach to option pri...

Chorro, Christophe.

A time series approach to option pricingmodels, methods and empirical performances /

Record Type:	Electronic resources : Monograph/item
Title/Author:	A time series approach to option pricingby Christophe Chorro, Dominique Guegan, Florian Ielpo.
Reminder of title:	models, methods and empirical performances /
Author:	Chorro, Christophe.
other author:	Guegan, Dominique.
Published:	Berlin, Heidelberg :Springer Berlin Heidelberg :2015.
Description:	xvi, 188 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Options (Finance)Mathematical models.
Online resource:	http://dx.doi.org/10.1007/978-3-662-45037-6
ISBN:	9783662450376 (electronic bk.)

A time series approach to option pricingmodels, 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:

183333
Options (Finance)
--Mathematical models.

LC Class. No.: HG6024 / .C46 2015

Dewey Class. No.: 332.6453

A time series approach to option pricingmodels, methods and empirical performances /
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245 1 2 $a A time series approach to option pricing $h [electronic resource] : $b models, methods and empirical performances / $c by Christophe Chorro, Dominique Guegan, Florian Ielpo.
260 $a Berlin, Heidelberg : $b Springer Berlin Heidelberg : $b Imprint: Springer, $c 2015.
300 $a xvi, 188 p. : $b ill., digital ; $c 24 cm.
505 0 $a Introduction -- 1 The Time Series Toolbox for Financial Returns -- 2 The Stochastic Discount Factor Approach -- 3 Empirical Performances -- Mathematical Appendix -- Index.
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.
650 0 $a Options (Finance) $x Mathematical models. $3 183333
650 0 $a Time-series analysis. $3 181890
650 1 4 $a Economics/Management Science. $3 273684
650 2 4 $a Finance/Investment/Banking. $3 511434
650 2 4 $a Financial Economics. $3 274377
650 2 4 $a Quantitative Finance. $3 274071
650 2 4 $a Statistics for Business/Economics/Mathematical Finance/Insurance. $3 274062
700 1 $a Guegan, Dominique. $3 711757
700 1 $a Ielpo, Florian. $3 712823
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856 4 0 $u http://dx.doi.org/10.1007/978-3-662-45037-6
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