Forbes, Catherine S.; Martin, Gael M.; Wright, Jill - In: Econometric Reviews 26 (2007) 2-4, pp. 387-418
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a Markov Chain...
