Option Pricing Using Subordinated and Infinitely Divisible Return Processes : An Empirical Analysis of the German Dax-Index Options Market

Rieken, Sascha

ISBN 10: 3980599345 / ISBN 13: 9783980599344

Published by Pro Business, 1999

About this Item

Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar.

Seller Inventory # 716705/202

Bibliographic Details

• Title: Option Pricing Using Subordinated and Infinitely Divisible Return Processes : An Empirical Analysis of the German Dax-Index Options Market
• Publisher: Pro Business
• Publication Date: 1999
• Language: English
• ISBN 10: 3980599345
• ISBN 13: 9783980599344
• Binding: Soft cover
• Condition: Sehr gut
• Seller catalogs:
  • Bücher

About this title

Synopsis

The dramatic growth of options markets around the world has lead to a surge of interest in a correct pricing model. The most widely used models for the pricing of European options are the discrete-time models of Cox, Ross and Rubinstein (CRR) and the Black and Scholes (BS) model, one of its possible continuous-time limits. A view of these limitations, we analyze the implications of two alternative aproaches to option pricing. The subordinated pricing model generalizes the BS model by incorporating a stochastic operational time scale of the market in the stock price process.