Implicit Bayesian Inference Using Option Prices

DOI10.1111/J.1467-9892.2005.00410.XMaRDI QIDQ5467612zbMATH OpenOpenAlexFDO

Authors Gael M. Martin, Catherine S. Forbes, Vance Martin

Publication date 24 May 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2000/wp5-00.pdf

zbMATH Keywords

European call optionGARCH processskew-normal distributionspot price process

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Bayesian analysis of contingent claim model error
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1772498 (Why is no real title available?)
• Long-term equity anticipation securities and stock market volatility dynamics
• Post-'87 crash fears in the S\&P 500 futures option market
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The pricing of options and corporate liabilities

Cited in

(18)

• A Bayesian approach to the empirical valuation of bond options
• Bayesian option pricing using mixed normal heteroskedasticity models
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Bayesian analysis of contingent claim model error
• The numerical simulation of Quanto option prices using Bayesian statistical methods
• Bayesian statistical inference for European options with stock liquidity
• Options in markets with unknown dynamics
• Multi-criteria classification for pricing European options
• A note on Bayesian inference in asset pricing.
• Measuring expectations in options markets: an application to the S\&P500 index
• PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
• Option prices as information predictor via sequential Bayesian statistics
• RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
• scientific article; zbMATH DE number 1114380 (Why is no real title available?)
• Parametric Inference and Dynamic State Recovery From Option Panels
• BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH
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• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter

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