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URL :  The Econometrics of Option Pricing
Author : R. Garcia - E. Ghysels - E. Renault
Detail : Last eBook Edition: 2004

The growth of the option pricing literature parallels the spectacular developments of derivative securities and the rapid expansion of markets for derivatives in the last three decades. Writing a survey of option pricing models appears therefore like a formidable task. To delimit their focus they put emphasis on the more recent contributions since there are already a number of surveys that cover the earlier literature.

eBook Contents

Introduction and overview - Option pricing, market completeness and preferences - Modelling asset price dynamics via diffusions for the purpose of option pricing - Implied risk-neutral probabilities - Nonparametric approaches – References

eBook License: Copyrighted (Personal Use Only)

Free PDF eBook - 683 Kb - 79 pages
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