A time series approach to option pricing: models, methods and empirical performances
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2015
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XVI, 188 S. graph. Darst. |
| ISBN: | 9783662450369 3662450364 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV042280937 | ||
| 003 | DE-604 | ||
| 005 | 20150709 | ||
| 007 | t | ||
| 008 | 150120s2015 gw d||| |||| 00||| eng d | ||
| 015 | |a 14,N37 |2 dnb | ||
| 016 | 7 | |a 1058024124 |2 DE-101 | |
| 020 | |a 9783662450369 |c hbk. |9 978-3-662-45036-9 | ||
| 020 | |a 3662450364 |9 3-662-45036-4 | ||
| 035 | |a (OCoLC)890650440 | ||
| 035 | |a (DE-599)DNB1058024124 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE-BE | ||
| 049 | |a DE-188 |a DE-945 |a DE-11 |a DE-355 | ||
| 082 | 0 | |a 332.6453 |2 22/ger | |
| 084 | |a QH 239 |0 (DE-625)141554: |2 rvk | ||
| 084 | |a QK 400 |0 (DE-625)141652: |2 rvk | ||
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 084 | |a 650 |2 sdnb | ||
| 100 | 1 | |a Chorro, Christophe |e Verfasser |0 (DE-588)1065319231 |4 aut | |
| 245 | 1 | 0 | |a A time series approach to option pricing |b models, methods and empirical performances |c Christophe Chorro ; Dominique Guégan ; Florian Ielpo |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2015 | |
| 300 | |a XVI, 188 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Optionspreistheorie |0 (DE-588)4135346-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a ARCH-Prozess |0 (DE-588)4346437-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Optionsgeschäft |0 (DE-588)4043670-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Black-Scholes-Modell |0 (DE-588)4206283-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a GARCH-Prozess |0 (DE-588)4346436-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 0 | 1 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 0 | 2 | |a Black-Scholes-Modell |0 (DE-588)4206283-4 |D s |
| 689 | 0 | 3 | |a GARCH-Prozess |0 (DE-588)4346436-1 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Optionspreistheorie |0 (DE-588)4135346-8 |D s |
| 689 | 1 | 1 | |a Optionsgeschäft |0 (DE-588)4043670-6 |D s |
| 689 | 1 | 2 | |a Zeitreihenanalyse |0 (DE-588)4067486-1 |D s |
| 689 | 1 | 3 | |a ARCH-Prozess |0 (DE-588)4346437-3 |D s |
| 689 | 1 | |C b |5 DE-604 | |
| 700 | 1 | |a Guégan, Dominique |e Verfasser |0 (DE-588)170934667 |4 aut | |
| 700 | 1 | |a Ielpo, Florian |e Verfasser |0 (DE-588)1044606711 |4 aut | |
| 856 | 4 | 2 | |m X:MVB |q text/html |u http://deposit.dnb.de/cgi-bin/dokserv?id=4768148&prov=M&dok_var=1&dok_ext=htm |3 Inhaltstext |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027718295&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-027718295 | |
Record in the Search Index
| _version_ | 1809770917471977472 |
|---|---|
| adam_text |
1 INTRODUCTION 1
REFERENCES 8
2 THE TIME SERIES
TOOLBOX FOR FINANCIAL RETURNS 11
2.1 STYLIZED FACTS 11
2.1.1 STATIONARITY, ERGODICITY AND AUTOCORRELATION 12
2.1.2 TIME-VARYING VOLATILITY AND LEVERAGE EFFECTS 15
2.1.3 SEMI FAT-TAILED DISTRIBUTIONS 16
2.2 SYMMETRIC GARCH MODELS 18
2.2.1 FROM LINEAR TO NON-LINEAR MODELS 18
2.2.2 DEFINITIONS 21
2.2.3 STATIONARITY PROPERTIES 23
2.2.4 COVARIANCE STRUCTURE OF THE SQUARES 27
2.2.5 WHY WE NEED MORE: KURTOSIS AND ASYMMETRY
IN A GARCH( 1,1) MODEL 31
2.3 ASYMMETRIC EXTENSIONS 33
2.3.1 GJR MODEL 35
2.3.2 EGARCH MODEL 37
2.3.3 APARCH MODEL 39
2.3.4 CONCLUDING REMARKS 41
2.4 CONDITIONAL DISTRIBUTION OF RETURNS 42
2.4.1 GENERALIZED HYPERBOLIC DISTRIBUTIONS 42
2.4.2 MIXTURE OF TWO GAUSSIAN DISTRIBUTIONS 45
2.4.3 SOME PRACTICAL REMARKS 47
2.5 GARCH IN MEAN 48
2.6 DEALING WITH THE ESTIMATION CHALLENGE 49
2.6.1 MAXIMUM LIKELIHOOD 50
2.6.2 QUASI MAXIMUM LIKELIHOOD 51
2.6.3 RECURSIVE ESTIMATION 52
2.6.4 EMPIRICAL FINITE SAMPLE PROPERTIES OF THE THREE
ESTIMATION METHODOLOGIES 53
HTTP://D-NB.INFO/1058024124
X CONTENTS
2.7 FROM GARCH PROCESSES TO CONTINUOUS DIFFUSIONS 58
2.7.1 CONVERGENCE TOWARD HULL AND WHITE (1987) DIFFUSIONS 59
2.7.2 CONVERGENCE TOWARD DIFFUSIONS
WITH DETERMINISTIC VOLATILITIES 61
2.7.3 CONVERGENCE TOWARD THE HESTON (1993) MODEL 61
REFERENCES 62
3 FROM TIME SERIES OF RETURNS TO OPTION PRICES:
THE STOCHASTIC DISCOUNT FACTOR APPROACH 67
3.1 DESCRIPTION OF THE ECONOMY UNDER THE HISTORICAL PROBABILITY 68
3.2 OPTION PRICING IN DISCRETE TIME 70
3.2.1 ARBITRAGE-FREE PRICE OF A EUROPEAN CONTINGENT CLAIM 70
3.2.2 THE STOCHASTIC DISCOUNT FACTOR 73
3.2.3 ECONOMIC INTERPRETATION: THE CCAPM MODEL 75
3.3 THE EXTENDED GIRSANOV PRINCIPLE 80
3.3.1 DEFINITION AND PROPERTIES 80
3.3.2 RISK-NEUTRAL DYNAMICS FOR CLASSICAL DISTRIBUTIONS 83
3.4 THE CONDITIONAL ESSCHER TRANSFORM 84
3.4.1 DEFINITION AND PROPERTIES 84
3.4.2 RISK-NEUTRAL DYNAMICS FOR CLASSICAL DISTRIBUTIONS 89
3.5 SECOND ORDER ESSCHER TRANSFORM 95
3.6 THE EMPIRICAL MARTINGALE SIMULATION METHOD 99
3.7 REMARKS ON CLOSED-FORM OPTION PRICING FORMULAS 101
3.8 PROOFS OF CHAPTER 3 103
REFERENCES ILL
4 EMPIRICAL PERFORMANCES OF DISCRETE TIME
SERIES MODELS 115
4.1 HISTORICAL DYNAMICS OF OPTION PRICES 116
4.2 THE HESTON AND NANDI CASE: CALIBRATION VS. ESTIMATION 129
4.3 EMPIRICAL PERFORMANCES OF HEAVY TAILED MODELS 149
4.3.1 ESTIMATION STRATEGIES 149
4.3.2 PRICING PERFORMANCES 162
4.4 CONCLUSION 172
REFERENCES 173
MATHEMATICAL APPENDIX 175
GAUSSIAN RANDOM VARIABLES 175
CONDITIONAL EXPECTATION 176
MONTE CARLO METHODS 180
CONVERGENCE OF DISCRETE TIME MARKOV PROCESSES TO DIFFUSIONS 183
FROM MOMENT GENERATING FUNCTIONS TO OPTION PRICES 184
REFERENCES 185
INDEX 187 |
| any_adam_object | 1 |
| author | Chorro, Christophe Guégan, Dominique Ielpo, Florian |
| author_GND | (DE-588)1065319231 (DE-588)170934667 (DE-588)1044606711 |
| author_facet | Chorro, Christophe Guégan, Dominique Ielpo, Florian |
| author_role | aut aut aut |
| author_sort | Chorro, Christophe |
| author_variant | c c cc d g dg f i fi |
| building | Verbundindex |
| bvnumber | BV042280937 |
| classification_rvk | QH 239 QK 400 QK 600 |
| ctrlnum | (OCoLC)890650440 (DE-599)DNB1058024124 |
| dewey-full | 332.6453 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6453 |
| dewey-search | 332.6453 |
| dewey-sort | 3332.6453 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV042280937</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20150709</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">150120s2015 gw d||| |||| 00||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">14,N37</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1058024124</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783662450369</subfield><subfield code="c">hbk.</subfield><subfield code="9">978-3-662-45036-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3662450364</subfield><subfield code="9">3-662-45036-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)890650440</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1058024124</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">XA-DE-BE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-188</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-11</subfield><subfield code="a">DE-355</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.6453</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 239</subfield><subfield code="0">(DE-625)141554:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 400</subfield><subfield code="0">(DE-625)141652:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">650</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Chorro, Christophe</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1065319231</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A time series approach to option pricing</subfield><subfield code="b">models, methods and empirical performances</subfield><subfield code="c">Christophe Chorro ; Dominique Guégan ; Florian Ielpo</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin [u.a.]</subfield><subfield code="b">Springer</subfield><subfield code="c">2015</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 188 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">ARCH-Prozess</subfield><subfield code="0">(DE-588)4346437-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Optionsgeschäft</subfield><subfield code="0">(DE-588)4043670-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Black-Scholes-Modell</subfield><subfield code="0">(DE-588)4206283-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">GARCH-Prozess</subfield><subfield code="0">(DE-588)4346436-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Black-Scholes-Modell</subfield><subfield code="0">(DE-588)4206283-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">GARCH-Prozess</subfield><subfield code="0">(DE-588)4346436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Optionspreistheorie</subfield><subfield code="0">(DE-588)4135346-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Optionsgeschäft</subfield><subfield code="0">(DE-588)4043670-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Zeitreihenanalyse</subfield><subfield code="0">(DE-588)4067486-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="3"><subfield code="a">ARCH-Prozess</subfield><subfield code="0">(DE-588)4346437-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Guégan, Dominique</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)170934667</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Ielpo, Florian</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1044606711</subfield><subfield code="4">aut</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">X:MVB</subfield><subfield code="q">text/html</subfield><subfield code="u">http://deposit.dnb.de/cgi-bin/dokserv?id=4768148&prov=M&dok_var=1&dok_ext=htm</subfield><subfield code="3">Inhaltstext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027718295&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-027718295</subfield></datafield></record></collection> |
| id | DE-604.BV042280937 |
| illustrated | Illustrated |
| indexdate | 2024-09-10T01:34:02Z |
| institution | BVB |
| isbn | 9783662450369 3662450364 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027718295 |
| oclc_num | 890650440 |
| open_access_boolean | |
| owner | DE-188 DE-945 DE-11 DE-355 DE-BY-UBR |
| owner_facet | DE-188 DE-945 DE-11 DE-355 DE-BY-UBR |
| physical | XVI, 188 S. graph. Darst. |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | Springer |
| record_format | marc |
| spelling | Chorro, Christophe Verfasser (DE-588)1065319231 aut A time series approach to option pricing models, methods and empirical performances Christophe Chorro ; Dominique Guégan ; Florian Ielpo Berlin [u.a.] Springer 2015 XVI, 188 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf ARCH-Prozess (DE-588)4346437-3 gnd rswk-swf Optionsgeschäft (DE-588)4043670-6 gnd rswk-swf Black-Scholes-Modell (DE-588)4206283-4 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 s Zeitreihenanalyse (DE-588)4067486-1 s Black-Scholes-Modell (DE-588)4206283-4 s GARCH-Prozess (DE-588)4346436-1 s DE-604 Optionsgeschäft (DE-588)4043670-6 s ARCH-Prozess (DE-588)4346437-3 s b DE-604 Guégan, Dominique Verfasser (DE-588)170934667 aut Ielpo, Florian Verfasser (DE-588)1044606711 aut X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4768148&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027718295&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chorro, Christophe Guégan, Dominique Ielpo, Florian A time series approach to option pricing models, methods and empirical performances Optionspreistheorie (DE-588)4135346-8 gnd ARCH-Prozess (DE-588)4346437-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| subject_GND | (DE-588)4135346-8 (DE-588)4346437-3 (DE-588)4043670-6 (DE-588)4206283-4 (DE-588)4346436-1 (DE-588)4067486-1 |
| title | A time series approach to option pricing models, methods and empirical performances |
| title_auth | A time series approach to option pricing models, methods and empirical performances |
| title_exact_search | A time series approach to option pricing models, methods and empirical performances |
| title_full | A time series approach to option pricing models, methods and empirical performances Christophe Chorro ; Dominique Guégan ; Florian Ielpo |
| title_fullStr | A time series approach to option pricing models, methods and empirical performances Christophe Chorro ; Dominique Guégan ; Florian Ielpo |
| title_full_unstemmed | A time series approach to option pricing models, methods and empirical performances Christophe Chorro ; Dominique Guégan ; Florian Ielpo |
| title_short | A time series approach to option pricing |
| title_sort | a time series approach to option pricing models methods and empirical performances |
| title_sub | models, methods and empirical performances |
| topic | Optionspreistheorie (DE-588)4135346-8 gnd ARCH-Prozess (DE-588)4346437-3 gnd Optionsgeschäft (DE-588)4043670-6 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd GARCH-Prozess (DE-588)4346436-1 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Optionspreistheorie ARCH-Prozess Optionsgeschäft Black-Scholes-Modell GARCH-Prozess Zeitreihenanalyse |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=4768148&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027718295&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT chorrochristophe atimeseriesapproachtooptionpricingmodelsmethodsandempiricalperformances AT guegandominique atimeseriesapproachtooptionpricingmodelsmethodsandempiricalperformances AT ielpoflorian atimeseriesapproachtooptionpricingmodelsmethodsandempiricalperformances |