Bayesian statistical inference for European options with stock liquidity

DOI10.1016/j.physa.2018.12.008OpenAlexW2903888266WikidataQ128771471 ScholiaQ128771471MaRDI QIDQ2156653

Lisha Lin, Yaqiong Li, Rui Gao

Publication date: 18 July 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.12.008

zbMATH Keywords

option pricingMetropolis-within-Gibbs algorithmBayesian statistical methodstock liquidity

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (3)

An interest-rate model with jumps for uncertain financial markets ⋮ Numerical pricing of exchange option with stock liquidity under Bayesian statistical method ⋮ The numerical simulation of Quanto option prices using Bayesian statistical methods

Cites Work

• The Pricing of Options and Corporate Liabilities
• Mathematical models of financial derivatives
• Option pricing with an illiquid underlying asset market
• Numerical analysis and simulation of option pricing problems modeling illiquid markets
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian estimation of agent-based models
• Liquidity risk and arbitrage pricing theory
• Bayesian analysis of contingent claim model error
• Analytical valuation for geometric Asian options in illiquid markets
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT
• Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling.
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