A Time Series Approach to Option Pricing

Language: English

Published by Springer Berlin Heidelberg Dez 2014, 2014

3662450364 / 9783662450369

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 204 pp. Englisch.…

Seller Inventory # 9783662450369

Title
A Time Series Approach to Option Pricing
Author
Christophe Chorro
Publisher
Springer Berlin Heidelberg Dez 2014
Publication year
2014
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3662450364
ISBN 13
9783662450369
Item weight
477 grams
Dimensions
241x160x17 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany