Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models
Year of publication: |
2011
|
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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 |
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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: |
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