Option prices under Bayesian learning: implied volatility dynamics and predictive densities

DOI10.1016/S0165-1889(01)00069-0zbMath1018.91023OpenAlexW3123703771MaRDI QIDQ1853221

Massimo Guidolin, Allan G. Timmermann

Publication date: 21 January 2003

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00069-0

zbMATH Keywords

Bayesian learningEuropean optionsequilibrium modelBlack and Scholes option pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

VaR and expected shortfall: a non-normal regime switching framework ⋮ Learning and forecasts about option returns through the volatility risk premium ⋮ Empirical assessment of an intertemporal option pricing model with latent variables. ⋮ On rationally confident beliefs and rational overconfidence ⋮ AUTOMATED INFERENCE AND THE FUTURE OF ECONOMETRICS: A COMMENT ⋮ Learning, confidence, and option prices ⋮ Properties of equilibrium asset prices under alternative learning schemes ⋮ Valuation of an option using non-parametric methods ⋮ Estimate nothing ⋮ Through the looking glass: indirect inference via simple equilibria ⋮ The stock implied volatility and the implied dividend volatility

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• THE GARCH OPTION PRICING MODEL
• Asset Prices in an Exchange Economy
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach

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