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Option pricing under model and parameter uncertainty using predictive densities · Study

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ArticleOption pricing under model and parameter uncertainty using predictive densities

F. O. Bunnin2002

Article2002

Option pricing under model and parameter uncertainty using predictive densities

F. O. Bunnin · Yike Guo · Yang Ren

38 citations·0/0 files stored·Statistics and Computing

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Markov Chains and Monte Carlo Methods

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References

1973The Pricing of Options and Corporate Liabilities 1979Martingales and arbitrage in multiperiod securities markets 2003Stochastic Differential Equations 1976The valuation of options for alternative stochastic processes 1981Martingales and stochastic integrals in the theory of continuous trading 2002Bayesian Analysis of Stochastic Volatility Models 1990Options, Futures, and Other Derivative Securities.1998Stochastic Differential Equations

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach

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Year2002

Typearticle

Published2002-01-01

VenueStatistics and Computing

ISSN-L0960-3174

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1013116204872

openalex_workW1529812027

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