Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms
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References listed on IDEAS
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- Stamey, James & Gerlach, Richard, 2007. "Bayesian sample size determination for case-control studies with misclassification," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2982-2992, March.
- 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.
More about this item
KeywordsBayesian Option Pricing; Leptokurtosis; Skewness; Time-Varying Volatility; Option Price Prediction; Implied Volatility Smiles;
- 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-FIN-2003-02-24 (Finance)
- NEP-FMK-2003-02-24 (Financial Markets)
- NEP-RMG-2003-02-24 (Risk Management)
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