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A Time Series Approach to Option Pricing

Models, Methods and Empirical Performances

  • Christophe Chorro
  • Dominique Guégan
  • Florian Ielpo

Table of contents

  1. Front Matter
    Pages i-xvi
  2. Christophe Chorro, Dominique Guégan, Florian Ielpo
    Pages 1-9
  3. Christophe Chorro, Dominique Guégan, Florian Ielpo
    Pages 11-66
  4. Christophe Chorro, Dominique Guégan, Florian Ielpo
    Pages 67-113
  5. Christophe Chorro, Dominique Guégan, Florian Ielpo
    Pages 115-174
  6. Back Matter
    Pages 175-188

About this book

Introduction

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.​

Keywords

Black Scholes Empirical Finance Investment Modeling Option Pricing Time Series

Authors and affiliations

  • Christophe Chorro
    • 1
  • Dominique Guégan
    • 2
  • Florian Ielpo
    • 3
  1. 1.Maison des Sciences EconomiquesUniversité Paris 1 Panthéon Sorbonne Centre d'Economie de la SorbonneParisFrance
  2. 2.Maison des Sciences EconomiquesUniversité Paris 1 Panthéon Sorbonne Centre d'Economie de la SorbonneParisFrance
  3. 3.Lombard Odier Darier Hentsch & CieGenèveSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-45037-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2015
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-662-45036-9
  • Online ISBN 978-3-662-45037-6
  • Buy this book on publisher's site
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