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Bayesian analysis of the Black-Scholes option price · Study

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ChapterBayesian analysis of the Black-Scholes option price

Theofanis Darsinos2007

Chapter2007

Bayesian analysis of the Black-Scholes option price

Theofanis Darsinos · Stephen Satchell

17 citations·0/0 files stored·Elsevier eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1987The Pricing of Options on Assets with Stochastic Volatilities 1987Expected stock returns and volatility

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Year2007

Typechapter

Published2007-01-01

VenueElsevier eBooks

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/b978-075068321-0.50007-8

openalex_workW1491486576

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