A Time Series Approach to Option Pricing

Language: English

Published by Springer, Springer Sep 2016, 2016

3662522403 / 9783662522400

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This item is printed on demand - Print on Demand Titel. 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 Scholesframeworkis 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 learnswhat it takes to understand and implement these option pricing models based on time series analysis in a self-contained way.The discussion coversmodeling choices available to the quantitative analyst, as well as the tools to decide upon a particular modelbased onthe historical datasets of financial returns. The reader is then guided intonumerical deduction of option pricesfrom these models andillustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 204 pp. Englisch.…

Seller Inventory # 9783662522400

Title
A Time Series Approach to Option Pricing
Author
Christophe Chorro
Publisher
Springer, Springer Sep 2016
Publication year
2016
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3662522403
ISBN 13
9783662522400
Item weight
318 grams
Dimensions
235x155x12 mm

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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Impressum Thorsten Retsch Buchversand Mimpf2000 Oberölschnitz 16 95517 Emtmannsberg Deutschland Telefon: 09209-2023188 Email: mimpf2000@online.de USt-ID-Nr.: DE 235096871 Wir führen gebrauchte Bücher aus allen Sparten der Literatur

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