Implicit Bayesian Inference Using Option Prices
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- Martin, G.M. & Forbes, C.S. & Martin, V.L., 2000. "Implicit Bayesian Inference Using Option Prices," Monash Econometrics and Business Statistics Working Papers 5/00, Monash University, Department of Econometrics and Business Statistics.
References listed on IDEAS
- Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Discussion Paper 1996-58, Tilburg University, Center for Economic Research.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gradojevic Nikola, 2016.
"Multi-criteria classification for pricing European options,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 20(2), pages 123-139, April.
- Nikola Gradojevic, 2015. "Multi-criteria Classification for Pricing European Options," Working Paper series 15-13, Rimini Centre for Economic Analysis.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014.
"Bayesian option pricing using mixed normal heteroskedasticity models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 588-605.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," CORE Discussion Papers 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Peter Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
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"Parametric pricing of higher order moments in S&P500 options,"
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John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
- G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
- C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
- Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
- Shu Wing Ho & Alan Lee & Alastair Marsden, 2011. "Use of Bayesian Estimates to determine the Volatility Parameter Input in the Black-Scholes and Binomial Option Pricing Models," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 1-23, December.
- Fry-McKibbin, Renée & Martin, Vance L. & Tang, Chrismin, 2014. "Financial contagion and asset pricing," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 296-308.
- Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
KeywordsBayesian Option Pricing; Leptokurtosis; Skewness; GARCH Option Pricing; Option Price Prediction; Hedging Errors.;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-02-24 (All new papers)
- NEP-ECM-2003-02-26 (Econometrics)
- NEP-FIN-2003-02-24 (Finance)
- NEP-FMK-2003-02-24 (Financial Markets)
- NEP-RMG-2003-02-24 (Risk Management)
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