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A Time Series Approach to Option Pricing

- Models, Methods and Empirical Performances

av Florian Ielpo, Christophe Chorro, Dominique Guegan
A Time Series Approach to Option Pricing av Florian Ielpo
Om A Time Series Approach to Option Pricing

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.

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  • Språk:
  • Engelska
  • ISBN:
  • 9783662522400
  • Format:
  • Häftad
  • Sidor:
  • 188
  • Utgiven:
  • 10. september 2016
  • Utgåva:
  • 12015
  • Mått:
  • 155x235x11 mm.
  • Vikt:
  • 3226 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 12. augusti 2025

Om Florian Ielpo

Se alla böcker av Florian Ielpo

Beskrivning av A Time Series Approach to Option Pricing

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.

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