Use of Bayesian estimates to determine the volatility parameter input in the black-scholes and binomial option pricing models
Year of publication: |
December 2011
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Authors: | Ho, Shu Wing ; Lee, Alan J. ; Marsden, Alastair |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 4.2012, 1, p. 74-96
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Subject: | Option pricing | volatility estimate | Bayesian statistics | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Bayes-Statistik | Bayesian inference | Black-Scholes-Modell | Black-Scholes model | Schätztheorie | Estimation theory | Derivat | Derivative | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm4010074 [DOI] hdl:10419/178530 [Handle] |
Classification: | C11 - Bayesian Analysis ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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