Option prices and pricing theory: combining financial mathematics with statistical modeling
Article first published online: 9 AUG 2011
Copyright © 2011 John Wiley & Sons, Inc.
Wiley Interdisciplinary Reviews: Computational Statistics
Volume 3, Issue 6, pages 566–576, November/December 2011
How to Cite
Chen, L., Lai, T. L. and Lim, T. W. (2011), Option prices and pricing theory: combining financial mathematics with statistical modeling. WIREs Comp Stat, 3: 566–576. doi: 10.1002/wics.186
- Issue published online: 5 OCT 2011
- Article first published online: 9 AUG 2011
- option pricing;
- substantive models;
- nonparametric regression;
- semiparametric regression;
- time series modeling
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
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