Option Pricing Using Subordinated and Infinitely Divisible Return Processes: An Empirical Analysis of the German Dax-Index Options Market - Couverture souple

Rieken, Sascha

 
9783980599344: Option Pricing Using Subordinated and Infinitely Divisible Return Processes: An Empirical Analysis of the German Dax-Index Options Market
Couverture souple
ISBN 10 : 3980599345 ISBN 13 : 9783980599344
Editeur : Westarp BookOnDemand, 1999

Synopsis

The dramatic growth of options markets around the world has lead to a surge of interest in a correct pricing model. The most widely used models for the pricing of European options are the discrete-time models of Cox, Ross and Rubinstein (CRR) and the Black and Scholes (BS) model, one of its possible continuous-time limits. A view of these limitations, we analyze the implications of two alternative aproaches to option pricing. The subordinated pricing model generalizes the BS model by incorporating a stochastic operational time scale of the market in the stock price process.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Westarp BookOnDemand
Date d'édition
1999
Langue
anglais
ISBN 10 
3980599345
ISBN 13 
9783980599344
Reliure
Taschenbuch
Numéro d'édition
1
Nombre de pages
539
Coordonnées du fabricant
non disponible
Personne responsable
Buchpark GmbH
gpsr@buchpark.de

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