A time series approach to option pricing [electronic resource] : models, methods and empirical performances / Christophe Chorro, Dominique Guégan, Florian Ielpo.
Chorro, Christophe, author.; Guegan, Dominique, author.; Ielpo, Florian, author.
2015
HG6024 .C46 2015eb
Available Online

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Title A time series approach to option pricing [electronic resource] : models, methods and empirical performances / Christophe Chorro, Dominique Guégan, Florian Ielpo.
Author Chorro, Christophe, author.
ISBN 9783662450376 electronic book
3662450372 electronic book
9783662450369
DOI https://doi.org/10.1007/978-3-662-45037-6
Published Berlin : Springer, [2015]
Copyright ©2015
Language English
Description 1 online resource.
Item Number 10.1007/978-3-662-45037-6 doi
Call Number HG6024 .C46 2015eb
Dewey Decimal Classification 332.64/53
Summary 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.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Added Author Guegan, Dominique, author.
Ielpo, Florian, author.
Available in Other Form Print version: 9783662450369
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Introduction
1 The Time Series Toolbox for Financial Returns
2 The Stochastic Discount Factor Approach
3 Empirical Performances
Mathematical Appendix
Index.

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