Bayesian option pricing using mixed normal heteroskedasticity models
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Publication:1623554
DOI10.1016/J.CSDA.2013.06.023zbMATH Open1506.62157OpenAlexW2165124641MaRDI QIDQ1623554FDOQ1623554
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cited in
(13)- Bayesian analysis of contingent claim model error
- Implicit Bayesian Inference Using Option Prices
- Bayesian inference for the mixed conditional heteroskedasticity model
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
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- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
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