BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH
Year of publication: |
2005
|
---|---|
Authors: | VENEGAS-MARTÍNEZ, FRANCISCO |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 01, p. 1-12
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Bayesian Inference | option pricing | stochastic volatility | numerical methods |
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