Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cappuccio Nunzio & Lubian Diego & Raggi Davide, 2004.
"MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model,"
Studies in Nonlinear Dynamics & Econometrics,
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- Silvia Centanni, 2011. "Computing option values by pricing kernel with a stochatic volatility model," Working Papers 05/2011, University of Verona, Department of Economics.
More about this item
KeywordsOption Pricing; Stochastic Volatility; Volatility Risk; Bayesian Implicit Inference; Markov Chain Monte Carlo;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
- NEP-ECM-2002-04-25 (Econometrics)
- NEP-ETS-2002-04-25 (Econometric Time Series)
- NEP-FMK-2002-04-25 (Financial Markets)
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