Option prices under Bayesian learning: implied volatility dynamics and predictive densities
From MaRDI portal
Publication:1853221
DOI10.1016/S0165-1889(01)00069-0zbMath1018.91023MaRDI QIDQ1853221
Massimo Guidolin, Allan G. Timmermann
Publication date: 21 January 2003
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
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