Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Year of publication: |
2020
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Authors: | Barone-Adesi, Giovanni ; Fusari, Nicola ; Mira, Antonietta ; Sala, Carlo |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 216.2020, 2, p. 430-449
|
Subject: | Bayesian nonparametric estimation | Dirichlet process | Options | Physical measure | Pricing kernel | Pricing kernel puzzle | S&P 500 index | Optionspreistheorie | Option pricing theory | Bayes-Statistik | Bayesian inference | Nichtparametrisches Verfahren | Nonparametric statistics | Handelsvolumen der Börse | Trading volume | Volatilität | Volatility | Schätzung | Estimation | Derivat | Derivative |
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