1.

Record Nr.

UNINA9910298518103321

Autore

Chorro Christophe

Titolo

A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances / / by Christophe Chorro, Dominique Guégan, Florian Ielpo

Pubbl/distr/stampa

Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2015

ISBN

3-662-45037-2

Edizione

[1st ed. 2015.]

Descrizione fisica

1 online resource (202 p.)

Disciplina

330

330.015195

332

519

Soggetti

Finance

Macroeconomics

Economics, Mathematical 

Statistics 

Finance, general

Macroeconomics/Monetary Economics//Financial Economics

Quantitative Finance

Statistics for Business, Management, Economics, Finance, Insurance

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references and index.

Nota di contenuto

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

Sommario/riassunto

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.