A Time Series Approach to Option Pricing

将时间序列方法应用于期权定价:模型、方法与实证效果

政治经济学

原   价:
552.5
售   价:
442.00
优惠
平台大促 低至8折优惠
作      者
出  版 社
出版时间
2014年12月15日
装      帧
精装
ISBN
9783662450369
复制
页      码
192
语      种
英语
综合评分
暂无评分
我 要 买
- +
库存 50 本
  • 图书详情
  • 目次
  • 买家须知
  • 书评(0)
  • 权威书评(0)
图书简介
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.
本书暂无推荐
本书暂无推荐
看了又看
  • 上一个
  • 下一个