Option prices and pricing theory: combining financial mathematics with statistical modeling

✍ Scribed by Ling Chen; Tze Leung Lai; Tiong Wee Lim

• Book ID: 104603004
• Publisher: Wiley (John Wiley & Sons)
• Year: 2011
• Tongue: English
• Weight: 316 KB
• Volume: 3
• Category: Article
• ISSN: 0163-1829
• DOI: 10.1002/wics.186

✦ Synopsis

Abstract

After an overview of important developments of option pricing theory, this article describes statistical approaches to modeling the difference between the theoretical and actual prices. An empirical study is given to compare various approaches. WIREs Comp Stat 2011 3 566–576 DOI: 10.1002/wics.186

This article is categorized under:

Applications of Computational Statistics > Computational Finance