Assessment and propagation of input uncertainty in tree-based option pricing models
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Publication:3077471
DOI10.1002/asmb.736zbMath1224.91154arXiv0704.1768MaRDI QIDQ3077471
Henryk Gzyl, German Molina, Enrique ter Horst
Publication date: 22 February 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0704.1768
option pricing; Bayesian statistics; mixture models; uncertainty propagation; Cox-Ross-Rubinstein model
91G70: Statistical methods; risk measures
62F15: Bayesian inference
91G20: Derivative securities (option pricing, hedging, etc.)
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