Bayesian parameter inference for models of the Black and Scholes type

DOI10.1002/asmb.709zbMath1199.91210OpenAlexW4251476135MaRDI QIDQ3552646

Henryk Gzyl, Enrique ter Horst, Samuel W. Malone

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.709

zbMATH Keywords

Bayesian analysisoption pricingBlack-Scholes modelrisk-neutral measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Dowd

Cites Work

• Axiomatic characterization of insurance prices
• Bayes factors for discrete observations from diffusion processes
• A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*

This page was built for publication: Bayesian parameter inference for models of the Black and Scholes type