Flexible Bayesian modelling of implied volatility surfaces
Björn Uhl
| Year of publication: |
2014
|
|---|---|
| Authors: | Uhl, Björn |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 1.2014, 4, p. 355-374
|
| Subject: | implied volatility surface | Bayesian model averaging | model risk | value at risk | S&P 500 | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010476908