Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?

Alejandro Bernales, Massimo Guidolin

Year of publication:	November 2015
Authors:	Bernales, Alejandro ; Guidolin, Massimo
Published in:	Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 26.2015, p. 1-37
Subject:	Option pricing \| Rational learning \| Bayesian updating \| Implied volatility \| Predictability \| Volatilität \| Volatility \| Lernprozess \| Learning process \| Optionspreistheorie \| Option pricing theory \| Prognoseverfahren \| Forecasting model \| Bayes-Statistik \| Bayesian inference

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