Efficient Quasi-Bayesian estimation of affine pption pricing models using risk-neutral cumulants

Riccardo Brignone, Luca Gonzato, Eva Lütkebohmert

Year of publication:	2023
Authors:	Brignone, Riccardo ; Gonzato, Luca ; Lütkebohmert, Eva
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 148.2023, p. 1-18
Subject:	Multifactor Affine Models \| Quasi-Bayesian Estimation \| Risk-Neutral Cumulants \| Sequential Monte Carlo \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| CAPM \| Optionspreistheorie \| Option pricing theory \| Zinsstruktur \| Yield curve \| Bayes-Statistik \| Bayesian inference

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