TY - CHAP
T1 - Option Pricing
AU - Lindquist, W. Brent
AU - Rachev, Svetlozar T.
AU - Hu, Yuan
AU - Shirvani, Abootaleb
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
PY - 2022
Y1 - 2022
N2 - Call and put options provide a standard tool for hedging exposure to foreseeable risk. The pricing of options is inherently coupled to the price of the underlying asset, hence a model for pricing options must couple innately to the model for the underlying asset price. This chapter details option pricing based upon a so-called double subordination price model for the asset. Subordination models offer the ability to include more of the stylized facts of asset prices, increasing the accuracy of option prices. This chapter details the application of a double subordinated model to capture the mean, variance, skewness, and kurtosis, as well as intrinsic time features of the return process for one of the optimized domestic REIT portfolios.
AB - Call and put options provide a standard tool for hedging exposure to foreseeable risk. The pricing of options is inherently coupled to the price of the underlying asset, hence a model for pricing options must couple innately to the model for the underlying asset price. This chapter details option pricing based upon a so-called double subordination price model for the asset. Subordination models offer the ability to include more of the stylized facts of asset prices, increasing the accuracy of option prices. This chapter details the application of a double subordinated model to capture the mean, variance, skewness, and kurtosis, as well as intrinsic time features of the return process for one of the optimized domestic REIT portfolios.
UR - http://www.scopus.com/inward/record.url?scp=85142045614&partnerID=8YFLogxK
U2 - 10.1007/978-3-031-15286-3_12
DO - 10.1007/978-3-031-15286-3_12
M3 - Chapter
AN - SCOPUS:85142045614
T3 - Dynamic Modeling and Econometrics in Economics and Finance
SP - 197
EP - 226
BT - Dynamic Modeling and Econometrics in Economics and Finance
PB - Springer Science and Business Media Deutschland GmbH
ER -