Option pricing under model and parameter uncertainty using predictive densities
DOI10.1023/A:1013116204872zbMATH Open1247.91181OpenAlexW1529812027MaRDI QIDQ451231FDOQ451231
Authors: F. O. Bunnin, Yi Ke Guo, Yu He Ren 
Publication date: 23 September 2012
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1013116204872
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)
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- Implications of parameter uncertainty on option prices
- A new stock model for option pricing in uncertain environment
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- The practical utility of incorporating model selection uncertainty into prognostic models for survival data
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