Bayesian option pricing using mixed normal heteroskedasticity models
DOI10.1016/J.CSDA.2013.06.023zbMATH Open1506.62157OpenAlexW2165124641MaRDI QIDQ1623554FDOQ1623554
Jeroen V. K. Rombouts, Lars Stentoft
Publication date: 23 November 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2009s-19.pdf
Recommendations
- Implicit Bayesian Inference Using Option Prices
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- Bayesian inference for the mixed conditional heteroskedasticity model
- Bayesian parameter inference for models of the Black and Scholes type
- PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
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)
Cites Work
- Analysis of Financial Time Series
- The pricing of options and corporate liabilities
- Econometric specification of stochastic discount factor models
- The Calculation of Posterior Distributions by Data Augmentation
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- Title not available (Why is that?)
- On a Mixture Autoregressive Model
- Bayesian Analysis of Binary and Polychotomous Response Data
- Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
- Sampling-Based Approaches to Calculating Marginal Densities
- Title not available (Why is that?)
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Contemporary Bayesian Econometrics and Statistics
- Title not available (Why is that?)
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
- An empirical comparison of GARCH option pricing models
- Theory and inference for a Markov switching GARCH model
- Empirical option pricing: A retrospection
- Option valuation with conditional skewness
- Bayesian analysis of contingent claim model error
- Volatility components, affine restrictions, and nonnormal innovations
- Bayesian estimation of the Gaussian mixture GARCH model
- Bayesian Clustering of Many Garch Models
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
- Empirical study of Nikkei 225 options with the Markov switching GARCH model
- Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
- Bayesian inference for the mixed conditional heteroskedasticity model
- Exact predictive densities for linear models with ARCH disturbances
- Marginal likelihood for Markov-switching and change-point GARCH models
- Implicit Bayesian Inference Using Option Prices
Cited In (10)
- A long memory model with normal mixture GARCH
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- Options in markets with unknown dynamics
- Title not available (Why is that?)
- 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
- Bayesian inference for the mixed conditional heteroskedasticity model
- Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
- Implicit Bayesian Inference Using Option Prices
Uses Software
This page was built for publication: Bayesian option pricing using mixed normal heteroskedasticity models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1623554)
