Ho, Shu Wing; Lee, Alan J.; Marsden, Alastair - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 74-96
The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the...
