Bayesian Option Pricing Using Asymmetric GARCH

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The predictive distribution of this function provides a natural metric with respect to which the predictive option price, or other option evaluations, can be gauged.

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Year of publication:	1997
Authors:	Bauwens, L. ; Lubrano, M.
Institutions:	Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
Subject:	PRICING \| SIMULATION

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Series:	G.R.E.Q.A.M..
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669457