Time series approach to option pricing, a: models, methods and empirical performances
Auteur :
Chorro, Christophe / Guégan, Dominique / Ielpo, Florian
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783662522400
Date de publication :
10 sept. 2016
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.