Option pricing under model and parameter uncertainty using predictive densities

DOI10.1023/A:1013116204872MaRDI QIDQ451231zbMATHOpenAlexFDO

Authors F. O. Bunnin, Yi Ke Guo, Yu He Ren

Publication date 23 September 2012

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013116204872

zbMATH Keywords

Bayesian model averagingoption pricingmodel and parameter uncertaintysampling-importance resampling

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• Bayesian option pricing using mixed normal heteroskedasticity models
• DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
• Bayesian option pricing using stochastic volatility models with fat-tailed errors
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Assessment and propagation of input uncertainty in tree-based option pricing models

Cited in

(19)

• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• Implications of parameter uncertainty on option prices
• Bayesian inference approach to inverse problems in a financial mathematical model
• PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS
• European option pricing with stochastic volatility models under parameter uncertainty
• Bayesian analysis of equity-linked savings contracts with American-style options
• scientific article; zbMATH DE number 1114380 (Why is no real title available?)
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
• Measures of model uncertainty and calibrated option bounds
• Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling
• A new stock model for option pricing in uncertain environment
• The practical utility of incorporating model selection uncertainty into prognostic models for survival data
• scientific article; zbMATH DE number 1124633 (Why is no real title available?)
• Estimate nothing
• Bayesian Model Averaging: A Systematic Review and Conceptual Classification
• Understanding delta-hedged option returns in stochastic volatility environments
• Parameters identification for an inverse problem arising from a binary option using a Bayesian inference approach
• Assessment and propagation of input uncertainty in tree-based option pricing models
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities

This page was built for publication: Option pricing under model and parameter uncertainty using predictive densities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q451231)