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Bayesian Option Pricing Using Asymmetric GARCH

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Author Info
Bauwens, L.
Lubrano, M.

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Abstract

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for the dynamics of the return and of the volatility of the underlying asset. The proposed evaluation of an option is the predictive expectation of its payoff function. The predictive distribution of this function provides a natural metric with respect to which the predictive option price, or other option evaluations, can be gauged.

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Publisher Info
Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 97a40.

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Length: 19 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:aixmeq:97a40

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Postal: G.R.E.Q.A.M., (GROUPE DE RECHERCHE EN ECONOMIE QUANTITATIVE D'AIX MARSEILLE), CENTRE DE VIEILLE CHARITE, 2 RUE DE LA CHARITE, 13002 MARSEILLE.
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Web page: http://www.vcharite.univ-mrs.fr/GREQAM/
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Related research
Keywords: PRICING ; SIMULATION;

Other versions of this item:

Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

Cited by:
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  1. HAFNER, Christian M. & HERWARTZ, Helmut, 1998. "Volatility impulse response functions for multivariate GARCH models," CORE Discussion Papers 1998047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
  2. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany. [Downloadable!]
    Other versions:
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