Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models
Year of publication: |
2011
|
---|---|
Authors: | Ho, Shu Wing ; Lee, Alan ; Marsden, Alastair |
Published in: |
Journal of Risk and Financial Management. - MDPI, Open Access Journal, ISSN 1911-8074. - Vol. 4.2011, 1, p. 74-96
|
Publisher: |
MDPI, Open Access Journal |
Subject: | Option pricing | volatility estimate | bayesian statistics |
Extent: | application/pdf text/html |
---|---|
Type of publication: | Article |
Classification: | C - Mathematical and Quantitative Methods ; E - Macroeconomics and Monetary Economics ; F2 - International Factor Movements and International Business ; F3 - International Finance ; G - Financial Economics |
Source: |
-
Risk Measures and Portfolio Optimization
Gambrah, Priscilla Serwaa Nkyira, (2014)
-
Risk Management of Interest Rate Derivative Portfolios: A Stochastic Control Approach
Kiriakopoulos, Konstantinos, (2014)
-
Firm Value and Cross Listings: The Impact of Stock Market Prestige
Cetorelli, Nicola, (2015)
- More ...
-
Ho, Shu Wing, (2011)
-
Ho, Shu Wing, (2011)
-
Fast computation of reconciled forecasts for hierarchical and grouped time series
Hyndman, Rob J., (2014)
- More ...