Time Series Approach to Option Pricing

Name: Time Series Approach to Option Pricing
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 2330060
Author: Florian Ielpo

Florian Ielpo, Christophe Chorro, Dominique Guegan

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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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…

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