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 J. ; Marsden, Alastair |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 4.2011, 1, p. 74-96
|
Publisher: |
Basel : MDPI |
Subject: | Option pricing | volatility estimate | Bayesian statistics |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/jrfm4010074 [DOI] 871936658 [GVK] hdl:10419/178530 [Handle] |
Classification: | C11 - Bayesian Analysis ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Ho, Shu Wing, (2011)
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Ho, Shu Wing, (2011)
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