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

by Christophe Chorro, Dominique Guegan, Florian Ielpo

Book Overview

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...

• Format: Paperback
• Language: English
• ISBN: 3662522403
• ISBN13: 9783662522400
• Release Date: September 2016
• Publisher: Springer
• Length: 188 Pages
• Weight: 0.65 lbs.
• Dimensions: 0.4" x 6.1" x 9.2"