Option prices and implied volatility dynamics under Bayesian learning
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- René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- Alexander David & Pietro Veronesi, 1998. "Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities," CRSP working papers 485, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
- Paruolo, Paolo, 2005.
"Automated Inference And The Future Of Econometrics: A Comment,"
Cambridge University Press, vol. 21(01), pages 78-84, February.
- Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods qf04025, Department of Economics, University of Insubria.
- René Garcia & Richard Luger & Éric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Varia," CIRANO Working Papers 2001s-02, CIRANO.
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