A Time Series Approach to Option Pricing

DOI10.1007/978-3-662-45037-6zbMath1325.91006OpenAlexW2482943447MaRDI QIDQ2938798

Florian Ielpo, Dominique Guégan, Christophe Chorro

Publication date: 15 January 2015

Full work available at URL: https://doi.org/10.1007/978-3-662-45037-6

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ Modeling Variance Risk Premium ⋮ Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis

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