Bayesian option pricing using stochastic volatility models with fat-tailed errors

MaRDI QIDQ3454077zbMATH OpenFDO

Authors Hongxi Lin, Liang Jiang

Publication date 2 December 2015

Full work available at URL http://www.ceser.in/ceserp/index.php/ijamas/article/view/3799

zbMATH Keywords

fat-tailed featureMarkov chain Monte Carlo (MCMC)martingale measureoption pricing

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Stochastic volatility models with application in option pricing
• Inference and computation for stochastic volatility models related to option pricing
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
• Option prices under Bayesian learning: implied volatility dynamics and predictive densities

Cited in

(10)

• Option prices under Bayesian learning: implied volatility dynamics and predictive densities
• Bayesian analysis of contingent claim model error
• Assessment and propagation of input uncertainty in tree-based option pricing models
• Option pricing under model and parameter uncertainty using predictive densities
• scientific article; zbMATH DE number 2170628 (Why is no real title available?)
• Option price sensitivity to errors in stochastic dynamics modeling
• Numerical pricing of exchange option with stock liquidity under Bayesian statistical method
• Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
• Inference and computation for stochastic volatility models related to option pricing
• Using relative returns to accommodate fat-tailed innovations in processes and option pricing

This page was built for publication: Bayesian option pricing using stochastic volatility models with fat-tailed errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3454077)