Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter
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- Hanno Gottschalk & Elpida Nizami & Marius Schubert, 2016. "Option Pricing in Markets with Unknown Stochastic Dynamics," Papers 1602.04848, arXiv.org, revised Jan 2017.
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KeywordsOption Pricing; Volatility Risk; Markov Chain Monte Carlo; Nonlinear State Space Model; Kalman Filter and Smoother.;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-CFN-2003-10-20 (Corporate Finance)
- NEP-ECM-2003-10-20 (Econometrics)
- NEP-ETS-2003-10-20 (Econometric Time Series)
- NEP-FMK-2003-10-20 (Financial Markets)
- NEP-RMG-2003-10-20 (Risk Management)
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