Holdings: A Time Series Approach to Option Pricing

A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances

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Bibliographic Details
Main Authors:	Chorro, Christophe (Author), Guégan, Dominique (Author), Ielpo, Florian (Author)
Format:	Electronic eBook
Language:	English
Published:	Berlin Springer 2015
Subjects:	Statistik Wirtschaft Economics Finance Economics > Statistics ARCH-Prozess Zeitreihenanalyse Black-Scholes-Modell Optionspreistheorie Optionsgeschäft GARCH-Prozess
Online Access:	BTU01 FAB01 FAW01 FHA01 FHI01 FHM01 FHN01 FHO01 FHR01 FKE01 FLA01 FNU01 FRO01 FWS01 FWS02 HWR01 UBG01 UBT01 UBY01 UEI01 UPA01 Volltext Inhaltsverzeichnis Abstract
Physical Description:	1 Online-Ressource (XVI, 188 p. 31 illus., 1 illus. in color)
ISBN:	9783662450369 9783662450376
DOI:	10.1007/978-3-662-45037-6

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Record in the Search Index

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adam_text	A TIME SERIES APPROACH TO OPTION PRICING / CHORRO, CHRISTOPHE : 2015 TABLE OF CONTENTS / INHALTSVERZEICHNIS INTRODUCTION 1 THE TIME SERIES TOOLBOX FOR FINANCIAL RETURNS 2 THE STOCHASTIC DISCOUNT FACTOR APPROACH 3 EMPIRICAL PERFORMANCES MATHEMATICAL APPENDIX INDEX DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. A TIME SERIES APPROACH TO OPTION PRICING / CHORRO, CHRISTOPHE : 2015 ABSTRACT / INHALTSTEXT 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 DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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author	Chorro, Christophe Guégan, Dominique Ielpo, Florian
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id	DE-604.BV042297369
illustrated	Not Illustrated
indexdate	2025-02-20T06:51:16Z
institution	BVB
isbn	9783662450369 9783662450376
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-027734415
oclc_num	899162051
open_access_boolean
owner	DE-473 DE-BY-UBG DE-739 DE-92 DE-2070s DE-703 DE-634 DE-Aug4 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-859 DE-1043 DE-1046 DE-M347 DE-573 DE-1049 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706
owner_facet	DE-473 DE-BY-UBG DE-739 DE-92 DE-2070s DE-703 DE-634 DE-Aug4 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-859 DE-1043 DE-1046 DE-M347 DE-573 DE-1049 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706
physical	1 Online-Ressource (XVI, 188 p. 31 illus., 1 illus. in color)
psigel	ZDB-2-SBE
publishDate	2015
publishDateSearch	2015
publishDateSort	2015
publisher	Springer
record_format	marc
spellingShingle	Chorro, Christophe Guégan, Dominique Ielpo, Florian A Time Series Approach to Option Pricing Models, Methods and Empirical Performances Statistik Wirtschaft Economics Finance Economics Statistics ARCH-Prozess (DE-588)4346437-3 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Optionsgeschäft (DE-588)4043670-6 gnd GARCH-Prozess (DE-588)4346436-1 gnd
subject_GND	(DE-588)4346437-3 (DE-588)4067486-1 (DE-588)4206283-4 (DE-588)4135346-8 (DE-588)4043670-6 (DE-588)4346436-1
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 by Christophe Chorro, Dominique Guégan, Florian Ielpo
title_fullStr	A Time Series Approach to Option Pricing Models, Methods and Empirical Performances by Christophe Chorro, Dominique Guégan, Florian Ielpo
title_full_unstemmed	A Time Series Approach to Option Pricing Models, Methods and Empirical Performances by 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	Statistik Wirtschaft Economics Finance Economics Statistics ARCH-Prozess (DE-588)4346437-3 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd Black-Scholes-Modell (DE-588)4206283-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Optionsgeschäft (DE-588)4043670-6 gnd GARCH-Prozess (DE-588)4346436-1 gnd
topic_facet	Statistik Wirtschaft Economics Finance Economics Statistics ARCH-Prozess Zeitreihenanalyse Black-Scholes-Modell Optionspreistheorie Optionsgeschäft GARCH-Prozess
url	https://doi.org/10.1007/978-3-662-45037-6 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027734415&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027734415&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
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