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ArticleBayesian analysis of contingent claim model error

Eric Jacquier A2000

Article2000

Bayesian analysis of contingent claim model error

Eric Jacquier A · Robert A. Jarrow

69 citations·0/0 files stored·Journal of Econometrics

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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 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1994The Benefits of Lending Relationships: Evidence from Small Business Data 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1994Implied Binomial Trees

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2004Parametric pricing of higher order moments in S&P500 options 2017Calibration and simulation of Heston model 2001The Importance of the Loss Function in Option Pricing 2016On calibration of stochastic and fractional stochastic volatility models 2022Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm 2008Commercial Mortgage‐Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information

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Year2000

Typearticle

Published2000-01-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations69

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4076(99)00020-2

openalex_workW2072532359

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2014Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

2007Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter