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A Time Series Approach to Option Pricing - Models, Methods and Empirical Performances (Hardcover, 2015 ed.)
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A Time Series Approach to Option Pricing - Models, Methods and Empirical Performances (Hardcover, 2015 ed.)
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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.
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