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

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ArticleParameter estimation risk in asset pricing and risk management: A Bayesian approach

Radu Tunaru2017

OA

Articlegreen2017

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

Radu Tunaru · Teng Zheng

18 citations·0/0 files stored·International Review of Financial Analysis

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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

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1976Option pricing when underlying stock returns are discontinuous 2016“Options, Futures, and Other Derivatives”1974On the Pricing of Corporate Debt: The Risk Structure of Interest Rates 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2003The Impact of Jumps in Volatility and Returns 2000Investing for the Long Run when Returns Are Predictable

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2010On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranchespreprint · 9 shared references 2002Parametric and Nonparametric Volatility Measurementpreprint · 8 shared references 2003Simulation-based exact jump tests in models with conditional heteroskedasticityarticle · 8 shared references 2005Is it important to consider the jump component for pricing and hedging short-term options?article · 8 shared references 2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firmsarticle · 7 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 7 shared references

Details

Year2017

Typearticle

Published2017-08-26

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.irfa.2017.08.004

openalex_workW2747423797

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