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A Time Series Approach to Option Pricing

DOI: 10.1007/978-3-662-45037-6

ISBN: 978-3-662-45036-9

Publisher: Springer Berlin Heidelberg - Springer Journals

Nov 22, 2014

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Chapter 1Introduction

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian

Pages: 1 –9

[An equity option is a financial asset that gives its buyer the right (but not the obligation) to buy or sell a certain quantity of stocks or financial instruments on or before specified dates at a predefined price. To a certain extent, an option is similar to an equity future, except for the...
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Chapter 2The Time Series Toolbox for Financial Returns

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian

Pages: 11 –66

[The evaluation of financial risks and the pricing of financial derivatives are based on statistical models trying to encompass the main features of underlying asset prices. From the seminal works of Bachelier (Ann Sci Ecole Norm Supér 17:21–86, 1900) based on Gaussian distributions, the random...
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Chapter 3From Time Series of Returns to Option Prices: The Stochastic Discount Factor Approach

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian

Pages: 67 –113

[In the perfect and unrealistic Black and Scholes model Black and Scholes (J Polit Econ 81:637–659, 1973) world, the dynamics \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy}...
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Chapter 4Empirical Performances of Discrete Time Series Models

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian

Pages: 115 –174

[Having in mind the previously developed models (Chap. 2) and pricing approaches (Chap. 3), this chapter intends to provide the reader with an empirical comparison of them. Even though part of the arguments in this book can seem rather theoretical, the underlying intention behind all of this is...

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