A time series approach to option pricing: Models, Methods and Empirical Performances

Christophe Chorro (1) , Dominique Guegan (1) , Florian Ielpo (2)

1 CES - Centre d'économie de la Sorbonne
2 Lombard Odier Asset Management

Mots clés: Time series; options pricing; financial econometry

Domaines: Economies et finances

Christophe Chorro, Dominique Guegan, Florian Ielpo. A time series approach to option pricing: Models, Methods and Empirical Performances. Springer, 2015. ⟨hal-01015308⟩