Bayesian option pricing using mixed normal heteroskedasticity models
| Year of publication: |
2009-03-01
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|---|---|
| Authors: | ROMBOUTS, Jeroen V.K. ; STENTOFT, Lars |
| Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
| Subject: | Bayesian inference | option pricing | finite mixture models | out-of-sample prediction | GARCH models |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2009013 |
| Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing |
| Source: |
Persistent link: https://www.econbiz.de/10008494365